Page 10 - MONECO Financial Training Catalogue
P. 10

        DATES: September 21 – 22, 2020 • PRICES: € 1,295 In-class, € 648 Online • LOCATION: Prague, NH Hotel Prague and Online

        A comprehensive overview of the BCBS IRRBB standards published in April 2016, comparison with
        EBA standards and a refresher of the mathematical tools required

        How you will benefi t:                Interest rate risk in the banking book (IRRBB) is part of the Basel capital framework
                                             under Pillar 2 and principles for the management and supervision of interest rate
        •  An understanding of the           risk were set out in 2004 by the BCBS. Following consultation during 2015, BCBS
          revised standards                  published revised principles (D368) in April 2016, to refl ect changes in market and
                                             supervisory practices.
        •  Gain theoretical and practical    This course provides a comprehensive overview of the current regulations
          understanding of IRRBB             in place including BCBS documents, supervisory statements, and legislative
          methodology                        revisions primarily for Europe. These requirements will be compared with industry
                                             practice and also other regulatory initiatives, e.g. FRTB.
        •  Understand links between          Since stress testing has become an important tool for risk management and a key part
          IRRBB and other regulatory         of the regulatory framework the course also spends time discussing the application of
          initiatives such as FRTB and       stress testing techniques. A particular area of focus will be on approaches to assigning
          liquidity risk management.         probabilities to stress scenarios in order to deliver a coherent stress-testing framework.
                                             Participants will engage in Spreadsheet-based exercises and also role-playing
        •  Understand risk transfer, fund    exercises where time constraints and class sizes permit. Role-playing exercises will be
          transfer pricing                   used to practice engagement with a regulator, defending assumptions and responding
                                             to likely regulatory challenge.
        •  Gain experience of facing
          regulatory challenge on            The course has three main objectives:
                                             •  To provide a comprehensive overview of the new standards presented in BCBS
          proposed model                       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 fl ow discounting, zero curve construction, yield curve models
         –  Computation of risk metrics, particularly: EVE, NII.
         –   A look at some modelling techniques: stochastic simulation, pricing options, modelling behavioural options, non performing
            loans, basis risk, credit spreads, capital and liquidity buff er calibration, stress testing.
         –  Assigning probabilities to stress scenarios in order to compute an economic capital number
        •  Review and discuss risk management techniques and regulatory initiatives, for example: hedging, funds transfer pricing, risk free
          interest rate benchmarks (replacements for the IBORs), Liquidity Risk Management, FRTB and interactions between the banking
          book and the trading book.
        Those with less quantitative backgrounds should not be discouraged by the mathematical content. Spread sheet examples will
        be provided with all data and formulae that will allow all participants to engage in ‘what-if’ scenarios to gain a feel for how diff erent
        assumptions can aff ect the results in regulatory reports and the likely challenges. Participants will be invited to work in groups to
        prepare a report based on their own assumptions and a role-playing session will be used to give participants experience of a meeting
        with regulators to review their submissions.

        MONDAY, SEPTEMBER 21 th              •  Compounding and day count conventions    BCBS D368 – The standardised
        09 – 09 15                             −  Net Present Value of a future cash fl ow –   Framework
         Welcome                               bond example                     •  Overall structure
        09 –12 15                              −  PV01, duration and convexity   •  The components
          Introduction                       •  Study Example                   •  Treatment of NMDs and capital
         •  Defi nition of IRRBB                                                 •  Behavioural options
         •  Accounting and IRRBB              Draft Revised CRD and CRR         •  Contractual options
                                             •  CRD – Articles 84, 98
         •  Changes in the Basel III Framework
                                             •  CRR – Articles 106, 448                             th
         •  Components of interest rates                                       TUESDAY, SEPTEMBER 22
           −  Risk free rate, duration spread, liquidity   12 –13 15           09 –12 15
           spread, credit spreads, commercial    Lunch                           Calculation of the standardised EVE
           margins                          13 –17 00                           risk measure and NII
           −  IRRBB and credit spread risk   BCBS D368                          •  Case study using bank disclosures and
         •  Measurement of IRRBB                                                 based on D368 reporting requirements
                                             •  IRRBB – Scope and timelines
           −  Earnings based measures– NII                                       −  Construct calculations and report using
                                             •  IRR Principles:
           −  Economic value based measures –                                    provided Spreadsheet
                                               −  Comparison with current EBA
           PV01, EV, EVE and EVaR                                                 −  Discuss base assumptions and bank
                                               requirements and bcbs 2004 (BCBS
           −  Interest rate scenarios                                            performance under the prescribed
           −  Options                                                             regulatory scenarios
                                               −  Discussion of Principles
           −  Non maturing deposits –                                             −  Split into groups and consider revised
           behaviouralisation, core deposits   Refresher 2                        submission
                                             •  Constructing zero curves        •  Role-play, face the regulator – a Pillar 2
          Refresher 1                        •  Discount factors                 meeting
         •  Time value of money              •  Forward Curves
         •  Forward Rates                    •  Interest Rate Swap Curves
                                             •  Study Example
               10                          Now also available as an online seminar
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