Friday, March 8th , 2019—11:00 a.m. – 11:45 a.m. (CET)
We are pleased to offer you the opportunity to take part in the webinar “IRRBB—new requirements by EBA and BaFin”. The publication of the new EBA/GL/2018/02 and the new BaFin 09/2018 (BA) circular on interest rate risk arising from non-trading book activities contain a number of new regulatory requirements for managing interest rate risk in Pillar 2 and Pillar 3. These publications pose a multitude of challenges to institutions: from risk measurement in terms of potential changes to both the economic value and earnings to governance issues to requirements for determining impact on the economic value in the supervisory outlier test.
zeb provides you with an overview of the current challenges:
- • Increased supervisory focus on determining and managing the interest rate risk from both economic value and earnings perspective (including the consideration of valuation effects directly through profit and loss or equity) in terms of an integrated IRRBB management and steering approach.
- • Stricter requirements, such as new models and suitable parameters, for including behavioral options in the banking book.
- • Demand for comprehensive documentation of models and assumptions, including sensitivity analyses, as well as a consistent limit system for all significant sub-risk types of interest rate risk.
- • Consideration of extensive methodological specifications to determine the change in economic value for the supervisory outlier test (e.g. choice between including or excluding commercial margins) and the positions that need to be included (e.g. pension obligations).
zeb offers you a comprehensive overview of the topic and is happy to share best practice approaches from our long-standing experience in asset and liability management. We present these approaches with our proven zeb control risk - ALM solution that enables your company to quickly and cost-efficiently meet the challenges of IRRBB.
You can easily log in to the webinar online from your workplace or home and directly ask questions or exchange ideas with the other participants.