Interest Rate Risks Management In Banking Book From Basel 4 Perspective

Corpul profesoral

 

Facilitators:
Adrian Codirlașu, PhD, CFA - Presenter/Trainer/Assoc. Prof. – Vicepresident AAFBR, Vicepresident of the CFA Society Romania, member of ACI Romania 
Laurențiu Mihăilescu, PhD - International Consultant/Presenter/Trainer - Senior Expert ALM & Treasury with large experience across financial international institutions

Interest rate risk arising from non-trading book activities is an important financial risk for credit institutions, which is heavily scrutinized by regulators through Basel 4 package and included also in the European legislation through EBA guidelines. The supervisory framework requires that banks implement and develop their own methodologies and processes for identification, measurement, monitoring and control of this risk.

This course provides a practical view in implementing and management of the interest rate risk in the banking book, doubled by a comprehensive overview of the current regulations and legislation at the European level (CRD V and CRR II) always keeping a touch point with the overarching BCBS framework.

These requirements will be presented from the industry best practice point of view and also will introduce details of other regulatory initiatives that are impacting interest rate risk management in the banking book (Fundamental Review of Trading Book and liquidity risk management).

IRRBB – Interest Rate Risk in the Banking Book refers to the current or prospective risk to the bank’s capital and earnings arising from adverse movements in interest rates that affect the bank’s banking book positions. Interest rate changes will influence both the value and possibly timing of future cashflows. Consequently, management of interest rate in the banking book is focused along two axes: economic value and earnings.

Excessive unmanaged interest rate risk could be a significant threat to value of the franchise, capital base and future earnings.
This online course takes participants on a deep dive into the theorethical as well as practical aspects of managing interes raste risk within the banking book and based on the practical experience of the facilitators will enable a fresh view as well as a benchmark to industry best practice.
 
Learning Outcomes

• Understand the importance of the IRRBB framework within Basel 4 overall framework;
• Master the knowledge and practical techniques needed to manage interest rate risk in banking book;
• Understand the key financial concepts to calculate the interest rate risk exposures;
• Gain insight into best practices in hedging this risk.

CONTENT
I. Introduction to interest rate risk management in banking book (IRRBB)

Part 1- IRRBB

• Essentials
• Definition
• Basel 4 / CRD V&CRR II overview
• Baking vs trading book split
• Framework for managing IRRBB (risk indicators, required risk framework and infrastructure, risk scenarios)

Part 2 - Measurement of IRRBB

• Economic perspective : EVE/EVE@Risk and NPV / NPV@Risk 
• Profitability perspective: NII and NII@Risk
• Mathemathical notions: yield curve, forward rates, bootstrapping, discunt factors, yield curve add-ons

Part 3 - Internal approach for managing IRRBB

• Buiding a good framework to manage interest rate risk in the banking book
• Internal stress test scenarios – parallel and non-parallel
• Treatment of non-maturing positions

Part 4 - Hedging the interest rate risk

• Hedhing alternatives in the market (bonds, derivatives, alternative operations)
• Building a strong Risk Apetite Statement matrix
• Additional key factors to manage (model risk, convexity risk, yield curve current and future shape)

Part 5 - IRRBB future developments

• Introduction of credit elements
• Pillar 2 capital for IRRBB
• Count for more behavioural optionalities
• Stress test for IRRBB

Target Audience: Directors and Managers of Risk Management and any Stakeholder with an interest or responsibility in managing balance sheet development and planning. Specific titles and functions that are of particular relevance include: Market Risk Management, Trading Market Risk, Market Risk Modelling, Credit Risk Modelling, Risk Methodology, Risk Analysis, Model Validation, Regulatory and Economic Capital, Implementation of Basel Accords, Finance and Treasury, Regulation & Compliance, Internal Control, Audit, Financial Institutions Advisory, Bank Supervision and Regulation, Financial Stability and Economic Analysis, Security, etc.

Number Of Participants: limited to maximum 12

The webinar will be highly interactive, based on discussions and case studies.

Facilitator: Adrian Codirlașu (PhD,CFA) - Presenter / Trainer / Assoc. Prof. – Vicepresident AAFBR, Vicepresident of the CFA Society Romania, member of ACI Romania 

Adrian is a senior banker with 20 years of experience in banking and financial markets. He is a CFA charterholder since 2006 and holds a PhD in International Finance. Adrian have 5-year experience as a Senior Options Dealer with ING Bank where he helped started the bank derivatives business in Romania and over 8 years experience in risk management (market, liquidity, operational, reputational and credit risk).

Previously, he has been a Senior Economist in the Research Dept. of the National Bank of Romania for about 6 years. Adrian is also an Associate Professor with DOFIN – Doctoral School of Finance, ASE. Between 2011 - 2013, Adrian was the President of the Association of Financial-Banking Analysts in Romania and for the last 13 years Adrian haas been a member of the CFA Romania Board of Directors, as well as the association’s President for seven years.

Facilitator: Laurențiu Mihăilescu (PhD) - International Consultant / Presenter / Trainer -  Senior Expert Treasury and ALM, EY Romania

Laurențiu is a senior expert with relevant international experience in market risk management, treasury and Assets and Liabilities Mangement. He holds a PhD in Risk Management as well as a multiple specialized diplomas in the field.

Laurențiu have over 10-year experience as a Head of ALM and Market Risk with ING Bank where he helped implementing risk management for balance sheet in Romania for new universal banking concept and over 15 years experience in risk management (market, liquidity, operational and counterparty risk).

Previously, he has been in charge in managing Market, Operational and Counterparty Risk Departments in several banks. Relevant for his experience are also the decisions positions held in many relevant managing committes (ALCO, Strategic Balance Sheet Management, Liquidity Coordinator etc).

When:                                                            

October 28, 2022 (9 am – 5,30 pm)       

Registration:

by October 21, 2022

Duration: 8 hours (net)     

The webinar will be delivered using Online Platform, allowing the virtual participation, both from home and from work, with no risks associated, using just a browser. After the registration to the course, one day before the online sessions took place, the participants will receive a link to access the virtual classroom.                                                                            

A digital certificate will be issued by Envisia after the course.