Interest rate risk modelling & IRRBB

  • 3 days
  • Treasury & capital markets risk
View Agenda

Key reasons to attend

  • Learn how to set up goals for IRRBB management and IRR strategy

  • Gain strategies for approaching high-rate environment challenges

  • Understand the impact of AI on interest rate risk

Find out more

Customised solutions

Does your team require a tailored learning solution on this or any other topic?

Working with the portfolio of expert tutors and Risk.net’s editorial team, we can develop and deliver a customised learning to make the most impact for your team, from initial assessment to final review. 

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About the course

Join us for this virtual course specifically designed to deepen the understanding in interest rate risk.

Participants will gain a new and improved understanding on how to manage and develop interest rate risk within their organisation. Sessions focus on the impact of high rates and interest rate risk challenges as well as interest rate risk regulatory environment and IRRBB governance. 

During the the course, participants will have the opportunity to learn from like-minded practitioners from various financial organisations offering global perspective on interest rate modelling and IRRBB in 2023.

Flexible pricing options:

  1. Early bird rate - book in advance and save $200 

  2. 3for2 group rate - book 3 delegates for the price of 2 and save over $2000 

  3. Season Tickets - book a team of 10 or more and save up to 50%

Learning objectives

  • Set up limits and manage the balance sheet in IRRBB

  • Understand the interest rate risk regulatory environment and IRRBB governance

  • Identify the impact of high interest rate and interest rate risk modelling

  • Develop insight into model complexities and hedging strategies

  • Implement the impact of AI on interest rate risk

  • Manage deposit beta and its liquidity component

Who should attend

Relevant departments may include but are not limited to:

  • Interest rate modelling 

  • Balance sheet management  

  • Liquidity risk 

  • Risk management  

  • Governance  

  • AI 

  • Machine Learning 

Agenda

March 27–29, 2023

Time zones: Emea / Americas 

Start: 13:15 GMT / 08:15 EST
Finish: 17:00 GMT / 12:00 EST

Sessions:

  • IRRBB and interest rate modelling

  • IRRBB: Setting up limits and managing the balance sheet

  • Interest rate risk regulatory environments and IRRBB governance

  • Impact of high rates and interest rate risk challenges

  • Behavioural modelling and dynamic assumptions

  • Various model complexities and hedging strategies

  • The impact of AI on interest rate risk (part one - technical implications)

  • The impact of AI on interest rate risk (part two - business implications)

  • Managing deposit data

VIEW DETAILED AGENDA


September 18–20, 2023

Time zones: EMEA / APAC

Start time: 7.15 GMT / 16.15 HKT/SGT
Finish time: 9.45 GMT / 18.45 HKT/SGT

REQUEST DETAILED AGENDA

 

Pre-reading materials

The Risk.net resources below have been selected to enhance your learning experience:

  • Modeling nonmaturing deposits: a framework for interest and liquidity risk management - Read article

  • Hong Kong banks await guidance on IRRBB for risk-free rates - Read article

  • Adapting to the new normal - Read article

To access some of the above articles you need to have a current subscription to Risk.net. If you don’t have one now, please subscribe to a free trial

Registration

March 27 - 29, 2023

01:15 pm - 05:00 pm

Virtual

Price

$2,199

Earlybird Price

$1,999

September 18 - 20, 2023

07:30 am - 09:45 am

Virtual

Price

$2,199

Earlybird Price

$1,999
Book now

Enquire about:

  • Agenda and registration process
  • Group booking rates
  • Customisation of this programme
  • Season tickets options
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