New program Interest Rate Risk in the Banking Book
4-5 June 2018 with Colin Lawrence
We are launching a new program this summer: Interest Rate Risk in the Banking Book. New Basel standards are introduced in 2018 for measuring and managing interest rate risk on the banking book (IRRBB). One of the complexities of interest rate risk on the balance sheet is the linkage between Asset Liability Management (ALM), Liquidity (LRP, NSFR), and the IRRBB.
In this 2-day program Professor Colin Lawrence demonstrates a framework of how to integrate these synergetic areas. The key building blocks of IRRBB, including analytical modeling, will be dealt with. He will also review what the supervisory process of regulators will be and how to prepare for this examination. The program will also explore how the Fundamental Review of the Trading Book (FRTB) is an overlapping framework of IRRBB as both capture interest rate exposure.