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Perbankan & Koperasi Yogyakarta

Interest Rate Risk in The Banking Book

DESCRIPTION

This training course will provide attendees with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk. The course will cover a range of key topic areas including approaches to implementing a measurement and reporting solution, addressing key challenges of running stress testing excercises and examine enhanced disclosure requirements.

OBJECTIVE

1. Key IRR Challenges including behavioural assumptions, yield curve risk and basic risk
2. Approaches to modelling IRRBB
3. Current and future IRRBB governance considerations
4. Understand the regulatory landscape including lessons from the ECB 2017 stress test
5. Defining IRRBB risk appetite
6. Using disclosure requirements to enhance current IRRBB practice

OUTLINE

• Assess the IRRBB Regulatory Landscape Post-Implementation
• Understand the Value and Income Metrics Approach
• Identify A Risk Measure that Effectively Captures CSRBB
• Examine the Evolution of IRRBB Systems and Processes
• Address Key Challenges of Running Stress Testing Exercises
• Industry Experts and Experienced Practitioners Make Up A Multi-Speaker Format

TARGET PESERTA

Risk Modelling,Asset-Liability Management Market Risk, Treasury Risk, Liquidity Risk, Balance, Sheet Risk, Stress Testing, Credit Risk, Capital Management, Regulatory Reporting

TRAINING METHOD

Presentation

Discussion

Case Study

Evaluation

FACILITY

Training Kit

Handout

Certificate

Lunch + 2x Coffee Break

Souvenir

Pick Up Participants (Yogyakarta)

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Topik Training	: Interest Rate Risk in The Banking Book
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