Interest Rate Risk in the Banking Book 2017

The whole of the first day will look at the intricacy of IRRBB, starting with a presentation updating delegates on the final BCBS paper and what it means for capital requirements. Further sessions will focus on IRRBB governance considerations, various metrics and IRR problem areas and deposit modeling. The second day will start with a session on developing shock and stress scenarios which will be followed by a session on how to model IRRBB. After lunch, the final two sessions will include an ALM simulation game and data challenges.