Host by zeb Date June 28, 2019 12:00 am


Friday, 28th of June 2019 11:00 a.m. - 11:45 a.m. (CET)

We are pleased to offer you the webinar "IRRBB - new requirements of EBA and BaFin". With the entry into force of the new EBA / GL / 2018/02, institutions are confronted with a large number of new regulatory requirements for dealing with interest rate risks in Pillar 2: from the risk assessment in a cash value and periodic view to governance issues to the specifications for the determination of the outlier test. Against this backdrop, BaFin also submitted a new version of the circular on interest rate risk, which was published only last year, which also implements the EBA requirements for determining the outlier test for LSIs. As a result of the planned entry into force of the new circular in the second half of 2019 and the associated reporting obligations, immediate action is required. zeb gives you an overview of the current challenges in this webinar:

  • • Increased supervisory focus on the determination and management of interest rate risk from a present value and periodic perspective, including the consideration of commercial valuation effects in the sense of dual interest book management.
  • • Tightening u.a. the requirements for taking account of implicit options in the banking book - this requires new models and suitable parameters.
  • • Demand for a comprehensive documentation of models and assumptions including sensitivity analyzes as well as a consistent limit system for all significant sub-risk types of the interest rate risk.
  • • Consideration of extensive benchmarks for outlier testing methodology (eg internal vs. external interest choice) and positions to include (e.g., consideration of non-performing exposures) and relevant thresholds (20% in the standard test vs. 15% for the so-called early warning indicator).

zeb offers 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 solution 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.