IRRBB: The Pillar 2 Approach | London | September, 14-15

Taking place in Holborn, London, on 14-15 September 2016, this two day training course will provide attendees with a comprehensive update on how to manage IRRBB under the Pillar 2 approach, including regulatory requirements and considering some of the problematic areas with implementing IRRBB. Sessions will also cover approaches to developing shock and stress scenarios, effective modelling and credit spread risk. 
The course, held under Chatham House Rule, is designed to promote discussion, debate and the sharing of best practice approaches to managing IRRBB. It will be presented by expert practitioners from leading financial institutions.

Course Highlights:

  • Receive a comprehensive understanding of the current pillar 2 regime for IRRBB, its strengths and weaknesses.
  • Compare value and income metrics and distinctions between the banking and the trading book.
  • Address problem areas associated with IRRBB including basis and residual risk.
  • Understanding and defining credit spread risk.
  • Develop methodologies for modelling interest rate risk.
  • Understand the use of derivatives to hedge and manage IRRBB.

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