Interest rate risk modelling & IRRBB
View AgendaKey reasons to attend
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Learn about dynamic balance sheet challenges
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Understand the goals for interest rate risk in the banking book (IRRBB) management
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Identify relevant hedging strategies for mitigating risks
Customised solutions
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About the course
The course will explore diverse approaches to interest rate and behavioural modelling. Participants will gain insights into the appropriate implementation of IRRBB frameworks by learning about multi-curve dynamic models and stochastic models.
Key sessions will explore the effect of high interest rates where participants will explore its implications, how to approach the impact and its relation to inflation. Participants will enhance their knowledge on interest rate risk by evaluating diverse aspects and complexities of IRRBB modelling.
Participants will have the opportunity to connect with diverse tutors, as well as their peers through active learning and Q&A sessions.
Only until December 31, 2023:
- Locked rate: $1,999.
Book by December 31, 2023 and save $1000 (quote LOCK23 code)
Learning objectives
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Evaluate IRRBB governance frameworks
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Align IRRBB frameworks with the balance sheet
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Address the current regulatory requirements
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Measure IRRBB by implementing diverse models
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Investigate the impact and challenges of rate changes
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Assess IRRBB by understanding the governance frameworks
Who should attend
Relevant departments may include but are not limited to:
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Liquidity risk management
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Risk management
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Stress-testing
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Asset-liability management
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Treasury
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Funds transfer pricing
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Balance sheet management
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Compliance
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Interest rate modelling
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Governance
Agenda
March 25–27, 2024
Live online. Timezones: Emea/Americas
Sessions:
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IRRBB: setting limits and managing the balance sheet
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Interest rate risk regulatory environments and IRRBB governance
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Impact of high rates and interest rate risk challenges
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Various model complexities and hedging strategies
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The impact of artificial intelligence (AI) on interest rate risk (part one: technical implications)
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The impact of AI on interest rate risk (part two: business implications)s
Accreditation
This course is CPD (Continued Professional Development) accredited. One credit is awarded for every hour of learning at the event.
Pre-reading materials
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