#IRRBB

[shasat-uk]

Deciphering Banking Book Dynamics: A Spotlight on Interest Rate Risk Management

Shasat, a prominent name in highly technical financial learning & development, has unveiled its latest training program: "Managing Interest Rate Risk in the Banking Book: Strategies and Best Practices." This eagerly awaited program is set to make waves in the banking industry, offering professionals an unparalleled opportunity to bolster their expertise in interest rate risk management, balance sheet optimization, and regulatory compliance.

Interest rate risk is a paramount concern in the banking sector, and Shasat's latest offering arrives at a pivotal juncture. In 2016, the Basel Committee on Banking Supervision (BCBS) introduced the "Standards on Interest Rate Risk in the Banking Book," ushering in a new era of regulatory requirements. In response, banks worldwide have been diligently overhauling their interest rate risk frameworks.

The workshop provides a comprehensive exploration of Interest Rate Risk in the Banking Book (IRRBB) and balance sheet optimization. It covers all the essential facets of IRRBB, encompassing measurement, management, and strategic considerations. The course goes beyond theory, offering participants hands-on experience in managing and optimizing balance sheets. Real-life case studies and examples will illuminate best practices in addressing interest rate risk within the banking book.

As per the content of the program, attendees will possess a deep understanding of IRRBB and valuable insights into balance sheet optimization techniques. Equipped with this knowledge, they will be well-prepared to make informed decisions regarding the design of IRRBB frameworks and ensure strict adherence to regulatory standards.

In this workshop, participants will delve into key learning features essential for mastering Interest Rate Risk in the Banking Book (IRRBB). They will begin by comprehending the core principles of IRRBB and the Basel Framework that governs it. The workshop will then guide them through the intricacies of interest rate components and the methodologies for IRRBB measurement. Furthermore, attendees will acquire expertise in quantitative techniques and models employed for IRRBB measurement and management. The workshop places a strong emphasis on practical application, enabling participants to tackle regulatory challenges associated with proposed models and grasp the significance of risk transfer and stress scenarios in IRRBB management. Through hands-on exercises, they will explore balance sheet optimization tools and techniques, along with an examination of real-life examples and case studies to reinforce their learning. Engaging in workshop and group discussion activities, participants will gain the practical skills needed to navigate balance sheet optimization and effectively manage interest rate risk in the banking book, all while ensuring strict compliance with regulatory requirements.

This workshop will be held in various locations, offering flexibility for participants to select their preferred venue. Here is the schedule of upcoming programs by Shasat. However, we recommend you continue to visit Shasat's website for the most up-to-date program schedules. 

Balance Sheet Optimization & Interest Rate Risk in the Banking Book (IRRBB) | GID 50002 | Zurich: Nov. 3-4, 2023

Balance Sheet Optimization & Interest Rate Risk in the Banking Book (IRRBB) | GID 50003 | Singapore: Oct. 10-11, 2023

Balance Sheet Optimization & Interest Rate Risk in the Banking Book (IRRBB) | GID 50004 | London: Oct. 17-18, 2023 

Balance Sheet Optimization & Interest Rate Risk in the Banking Book (IRRBB) | GID 50005 | Toronto: Dec. 4-5, 2023

Balance Sheet Optimization & Interest Rate Risk in the Banking Book (IRRBB) | GID 50006 | Sydney: Nov. 20-21, 2023

Balance Sheet Optimization & Interest Rate Risk in the Banking Book (IRRBB) | GID 50007 | New York City: Nov. 27-28, 2023

Balance Sheet Optimization & Interest Rate Risk in the Banking Book (IRRBB) | GID 50001 | Online | Available on request

For more details and to enrol in the Balance Sheet Optimization & Interest Rate Risk in the Banking Book (IRRBB) Workshop, please visit: https://shasat.co.uk/product-category/banking-risk-management-courses/ This program is the best learning solution for banking professionals worldwide to partake in this enriching experience and also understand how other banks in Europe are dealing with many similar challenges. The program promises to be an exciting and informative opportunity for those seeking to navigate the complexities of interest rate risk management. Don't miss your chance to be part of this transformative program that Shasat has crafted to elevate your skills and knowledge in the financial sector.

[crisismonitor]

EBA: Αυτός είναι ο heatmap για το επιτοκιακό ρίσκο

Η Ευρωπαϊκή Αρχή Τραπεζών (EBA) δημοσίευσε το heatmap μετά από έλεγχο του κινδύνου επιτοκίου στην εφαρμογή των προτύπων του τραπεζικού χαρτοφυλακίου (IRRBB) στην ΕΕ. Continue reading EBA: Αυτός είναι ο heatmap για το επιτοκιακό ρίσκο

[harbourfronttechnologies]

Effectiveness of Regulatory Interest Rate Risk Measures

The recent collapse of Silicon Valley Bank highlights the significance of effectively managing interest rate risk in financial institutions. As interest rates fluctuate, financial institutions face challenges in maintaining a balanced portfolio and managing potential losses arising from changes in interest rates. Interest rate risk refers to the vulnerability of an institution's earnings and capital due to shifts in interest rates.

Reference [1]  developed a simulation approach that allows us to retrospectively analyze the regulatory risk measures, Economic Value of Equity (EVE), and Net Interest Income (NII), in the context of interest rate risk following a hypothetical bank's default in a stressed interest-rate environment. The simulation framework begins by generating a wide range of interest rate stress scenarios utilizing the Hull-White one-factor model. These stress scenarios are then propagated through macroeconomic models to determine their final impact on the balance sheets of the generic banks under study. Using the simulation results, the authors analyzed the effectiveness of the risk measures in differentiating between default and non-default scenarios. They pointed out,

In general, our regression results show that rising interest rates might indeed be more harmful to banks with high exposure to IRRBB. We show that both risk measures significantly indicate our bank’s default and, therefore, inherent risk. The EVE-related risk measure is a robust indicator of a default of a bank four lags in advance, and a higher loss in a bank’s EVE indicated by the risk measure increases the odds of a bank’s default. The ROC analysis reveals a critical threshold and offers a sufficient distinction between default and non-default scenarios.

The results for the NII-related risk measure are against the economic intuition of a risk measure, as a greater loss of NII usually decreases the odds of a bank’s default. The results of the robustness section suggest that the information value of NII risk measures may depend on the underlying interest rate levels. Consequently, our results do not support using the NII measure to assess a bank’s IRRBB and, particularly, a quantitative threshold for the NII.

In short, the findings demonstrated that both the Economic Value of Equity (EVE) and Net Interest Income (NII) measures effectively indicate the presence of inherent interest rate risk. The EVE measure proves to be a robust and conclusive indicator of risk, aligning with economic intuition and providing reliable insights. However, the results regarding the NII measure are contrary to economic expectations, less robust, and appear to be influenced by the prevailing level of interest rates.

We find the results plausible. However, we note that the framework was developed in a low-interest environment. It would be interesting to examine how the model would perform in the current market environment.

Let us know what you think in the comments below or in the discussion forum.

References

[1] Catharina Claußena, Daniel Plattea, Evaluating the Validity of Regulatory Interest Rate Risk Measures – A Simulation Approach, Journal of Banking and Finance (2023)

Post Source Here: Effectiveness of Regulatory Interest Rate Risk Measures

from Harbourfront Technologies - Feed https://ift.tt/onxC8wU

[rulinarulina]

Profile: Αναβάθμιση του RiskAvert με λειτουργικότητες για NPEs και IRRBB

Profile: Αναβάθμιση του RiskAvert με λειτουργικότητες για NPEs και IRRBB

Η Profile Software, διεθνής εταιρεία ανάπτυξης λογισμικού, παρουσιάζει τη νέα αναβαθμισμένη έκδοση του RiskAvert, με την προσθήκη νέων λειτουργιών κάλυψης των εποπτικών απαιτήσεων για τα Μη Εξυπηρετούμενα Ανοίγματα (NPE Backstopping), καθώς και για τoν Επιτοκιακό Κίνδυνο στο Τραπεζικό Χαρτοφυλάκιο (IRRBB). Το RiskAvert, η ολοκληρωμένη πλατφόρμα διαχείρισης κινδύνων για την κεφαλαιακή επάρκεια,…

[jobsine]

Jun. Risk Modeler ENO#185061 Job For 0-50 Year Exp In Credit Suisse Mumbai, India - 3915403

Jun. Risk Modeler ENO#185061 Job For 0-50 Year Exp In Credit Suisse Mumbai, India – 3915403

As part of the role, your responsibilities include: Validation of models and qualitative estimation approaches used within the Treasury and Liquidity space. This includes validation of models covering stress testing, IRRBB, Liquidity risk. Performing testing and producing validation documentation following the model validation guidelines Timely delivery of model reviews with effective…

[korrektheiten]

Zinsänderungsrisiko „IRRBB“: Kleinteilige Ablenkungsmanöver

ef:"Zinsänderungsrisiko „IRRBB“: Kleinteilige Ablenkungsmanöver http://dlvr.it/QJh20X "

[austrisk]

How Europe can fix the Basel IRRBB standards

How Europe can fix the Basel IRRBB standards

Building an outlier test for interest income would be better than the standardised EVE approach Read more here:: Risk.net

[finmindo]

@ecb: Supervision. Explained.: ECB sensitivity analysis of IRRBB – stress test 2017 https://t.co/ihVmL3YaIH

Supervision. Explained.: ECB sensitivity analysis of IRRBB – stress test 2017 https://t.co/ihVmL3YaIH

— ECB (@ecb) February 28, 2017

[etiteppa]

地方創生とリスクアペタイト指標

地方創生とRAFとを結び付けるとして、リスクアペタイト指標にどのようなものがふさわしいか、考えてみたい。 リスクアペタイトは、とるべきリスクの水準と種類であり、定量的なものと定性的なもので構成されたほうがよい、という話はしばしばよく聞かれるところである。 定量的な指標として、NRIによる2017年1月に公表された「金融ITフォーカス特別号」では、以下の例が紹介されている。 ・収益 ・ストレス時損失 ・資本 ・流動性 ・信用格付け ・リスク量 ・レバレッジ比率 ・バランスシート構成 例えば、貸出残高や預金残高がリスクアペタイトになりうるかを考えた場合、同じくNRIの資料でも記されているとおり、リスクアペタイトが経営戦略やビジネスモデルを踏まえたものであるべきことを鑑みると、そのような貸出残高や預金残高がどのような目的で設定さ��たものかに立ち返るべきであると思われる。 リスクアペタイト以前の話とは思われるが、やみくもに貸出を増やしても貸倒等の信用リスクを抱えるだけであるし、預金も金利リスクを拡大する恐れがある（従来の低金利環境を鑑みればこの点は大したことはなかったかもしれないが、マイナス金利やIRRBBの導入を踏まえると、いずれ影響は無視できなくなるであろう）。これらを飲み込んだ上での拡大戦略でなければ、リスクアペタイト指標は愚か、経営目標としても正当化されるのは難しいであろう。但し例えば、バランスシート構成として、預貸率のような形であれば、経営戦略次第ではリスクアペタイト指標たりうるようにも思われる。 もう一つの例として、ある地域における取引シェアといったものも経営目標の一つに掲げられることがあるかもしれない。しかしながらこれも、一定のシェアを達成・維持した上で何を目指すかについての踏み込みが必要であろう。単純にある地域へのコミットメントとしてのシェア拡大・維持では不十分であり、そのようなシェアが正当化される理由がなければリスクアペタイト指標（あるいはそれ以前の段階として、あるべき経営目標）たりえないと考えられる。 （但し、例えば海外のある地域に進出する上で、各地のシェア上位●位に入らなければ、収益性を維持できないという話も聞かれるので、およそシェアは経営目標ないしリスクアペタイト指標たりえない、というものではないかもしれない。） 一方で、上記にあげた８つの例のうち、地方創生と親和性の高いものがどれかと問われると、非常に悩ましいものの、一つあるとすれば、「ストレス時損失」、それも長期的なシナリオに基づく損失が、候補として挙げられるように思う。既存のビジネスモデルが、当該地域における産業構造や人口構成に大きく依存しており、これらが変化・悪化した場合における損失をリスクアペタイト指標とし、これを低減させるようなビジネスモデルの推進を行いつつ、かかる指標（損失額）をモニタリングし、目標とすべきモデルへの達成度を評価・検証するという枠組みが、ありうるように思われる。 さらにこれの延長として、目指すモデルがもたらす収益や、目指すモデルに必要なバランスシート構造やリスク量、およびその結果としてのレバレッジ比率といったものが、地方創生との関連性が相対的に高いリスクアペタイト指標の候補として挙げられるように思う。

[apacfinancialmarkets-blog-blog]

Regulators forge compromise on interest rate risk

APAC Financial Markets • Banks can use internal models under Pillar 1, but must also report standardised measures under Pillar 2 Banks will be able to use both internal and standardised measures to calculate capital requirements for the interest rate risk on loans and deposits – regardless of whether the c http://wp.me/p62aKF-8Qa #Banks, #BaselCommittee, #Deposits, #InterestRateRisk, #IRRBB, #Loans, #Pillar1, #Pillar2 #RegulatoryIssues, #Risk

[austrisk]

How Europe can fix the Basel IRRBB standards

How Europe can fix the Basel IRRBB standards

Building an outlier test for interest income would be better than the standardised EVE approach Read more here:: Risk.net

[apacfinancialmarkets-blog-blog]

Basel to unveil “Pillar 1-light” approach to rate risk

APAC Financial Markets • First public consultation expected this month in long-running project. A flexible approach to setting capital requirements for the interest rate risk on loans and deposits is set to share key elements of the originally planned rigid, standardised approach, according to industry and http://wp.me/p62aKF-6YL #Basel, #Deposits, #InterestRateRisk, #IRRBB, #Loans, #Pillar1Light, #RateRisk #MarketNews, #Risk