2nd Edition Managing Interest Rate Risk in the Banking Book
Nov 22, 2017 – Nov 24, 2017
This marcus evans event will enable banks to establish an effective IRRBB framework to gain competitive ground. The meeting will explore how banks can steer the balance sheet to defend against interest rate risk sensitivities, advancements to systems and behavioural models under the IRRBB, developments in the IRRBB EBA guidelines and stress testing requirements and the separation between the banking and trading book.
Since the EBA’s updates on the IRRBB, banks have been implementing IRRBB stress tests and updating behavioural models under the new shock scenarios in order to work towards a standardised metric. This standardised measure will reveal a bank’s interest rate risk position, enabling bank-to-bank comparisons indicating, which banks are most prepared for interest rate movements. As banks progress from implementing the IRRBB, the focus now turns to the governing of IRRBB to improve both interest rate risk management and business decision making within the bank.