Page 11 - MONECO Financial Training Catalogue
P. 11

INTEREST RATE RISK IN THE BANKING BOOK



          Managing Interest Rate Risk      •  The econometric relationship between    •  A Monte Carlo Solution
         •  Hedging duration risk          NMD rates, loan portfolio rates and    •  Bayesian Solutions
           −  Bonds                        market rates                        –  Bayesian Networks– deriving an economic
           −  Futures                                                          capital number from scenarios
                                            15
           −  Swaps                       12 –13 15                            –  Optimisation methods
         •  Hedging convexity risk         Lunch                               –  Conditional probabilities of scenarios
                                            15
           −  Options                    13 –17 00
                                           Funds Transfer Pricing            Related Topics
         Modelling Interest Rates                                            •  Risk Appetite Frameworks
         •  Simulation Models, Monte Carlo and     Risk Free Reference Rates    •  Introduction to FRTB
          option pricing                  Benchmarks                           –  Trading book/banking book boundary
           −  Behavioural Options – deposit    •  RFRs and the IBORS           defi nition under FRTB
                                                                               –  Risk transfers from banking book to
           withdrawal, prepayment risk,    •  Term Structure of RFRs
                                                                               trading book
           wrong way risk, default risk    •  Issuance activity
         •  Sensitivity of NMD rates to changes                                –  Liquidity Horizons
          in market rates – passthrough    Stress Testing                     Evaluation and Termination of the Course
          rates – a bank policy decision    •  Regulatory requirements










            Lecturer: Gary Dunn
            Started out life as a statistician at the Bank of England in 1977 and after a 16-year career
            there ended up as a senior manager within UK foreign currency reserve management
            with responsibility for interest rate risk strategy and liquidity management.  To aid
            liquidity management Gary created an internal market for funding between  fi xed
            income portfolio managers and the FX desks.
            Gary ventured into the private sector where he spent a further10 years as a proprietary
            trader.
            Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory
            market risk models (CAD models including VaR and IRC). Whilst at FSA Gary
            conducted a thematic review of the management of interest rate risk in the banking book (IRRBB) across
            London based banks. He also attended the AIG/TBG, a BCBS working group responsible for technical design
            of proposed market risk regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel
            2.5 and also wrote internal working papers on VaR, ES and other spectral risk measures which contributed to a
            review of the academic literature on market risk measures, the fi rst in a long series of FRTB papers from BCBS
            and industry.
            From 2010, as a senior manager at HSBC, Gary participated in many dialogues between industry and regulators
            covering topics such as FRTB, central clearing, margining, liquidity risk and IRRBB (interest rate risk in the
            banking book), as well as working on internal projects such as stress testing, IRC development, regulatory
            interactions and CRD IV submissions. Finally, before moving into consultancy and training, Gary took on an MD
            role at Morgan Stanley where he was head of risk analytics for the EMEA region.
            Now Gary works as a private consultant and trainer.






















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