Interest Rate Risk in the Banking Book

MONECO Financial Training
Course summary
2 days
1,400 EUR excl. VAT
Next available date: 26/09/2019 09:00 - Prague

Course description

Interest Rate Risk in the Banking Book

Interest Rate Risk in the Banking Book

This course with MOENCO Financial Training  provides a comprehensive overview of the current regulations in place including BCBS documents, supervisory statements, and legislative revisions primarily for Europe. These requirements will be compared with industry practice and also other regulatory initiatives, e.g. FRTB.

The course with MONECO Financial Training has three main objectives:

  • Provide a comprehensive overview of the new standards presented in BCBS papers, look at the implementation in Europe, particularly in connection with CRD, CRR and EBA guidelines and technical standards.
  • Refresh and develop quantitative techniques:

        - Cash flow discounting, zero curve construction, yield curve models

         - Computation of risk metrics, particularly: EVE, NII, LCR and NSFR.

         - A look at some modelling techniques: stochastic simulation, pricing options,     modelling behavioural options, non performing loans, basis risk, credit spreads, capital and liquidity buffer calibration, stress testing.

       - Conditional probability theory in relation to stress scenarios

    • Review and discuss risk management techniques covering, for example, topics such as: hedging, funds transfer pricing, FRTB and interactions between the banking book and the trading book.

    Suitability - Who should attend?

    Who should attend?

    Analysts, Vice Presidents, Directors, Senior Managers in:

    • Risk Management
    • Asset-Liability Management
    • Treasury Department
    • Capital Management
    • Governance and Audit

    Training Course Content

    This course in Interest Rate Risk  will offer a comprehensive overview of the BCBS IRRBB standards, comparison with EBA standards and a refresher of the mathematical tools required.

    How you will benefit:

    • An understanding of the revised standards
    • Gain theoretical and practical understanding of IRRBB methodology
    • Understand links between IRRBB and other regulatory initiatives such as FRTB and liquidity risk management.
    • Understand risk transfer, fund transfer pricing
    • Gain experience of facing regulatory challenge on proposed model.

    About provider

    Training Programme for Financial Professionals in the City of Prague. MONECO Financial Training offers top public seminars focused to the needs of financial professionals. The seminars cover a wide range of topics such as: financial engineering risk management portfolio management...

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    Contact info

    MONECO Financial Training

    MONECO Financial Training
    Gorkeho 1
    60200 Brno

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