2nd Edition Managing Interest Rate Risk in the Banking Book

22 November 2017 - 24 November 2017
Date
22 November 2017 - 24 November 2017
Venue
London, United Kingdom
Company
Contact
Yiota Andreou
Tel
+357 22 849 404

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events will show banks how to establish effective governance of IRRBB in relation to recent regulatory developments addressing issues such as behavioural modelling assumption, system changes and the optimisation of your IRRBB framework.

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. In addition to this, the result will reveal how prepared banks are for interest rate movements, and how they should be governing their IRRBB best to get in a better position.