On April 21st, the Basel Committee on Banking Supervision (BCBS) pulled back from their proposed Pillar 1 capital charge for interest rate risk in the banking book and recognized that the disparate nature of this particular risk is best reflected and managed under an enhanced Pillar 2 approach. The new rules mandate that banks are to follow a set of prescribed IRRBB Principles, which demand greater emphasis on the type of stress scenarios deemed applicable, clarity on the assumptions underpinning behavioural models that drive IRRBB and assurance that all IRRBB related models are governed by a robust model validation process. Furthermore, to obtain a semblance of comparability of IRRBB across jurisdictions, banks will be compelled to disclose, in much greater detail their IRRBB exposures and the impact to NII and EVE under a set of pre-defined shock scenarios.
To understand what this means for banks, we’ve gathered the industry’s leading lights to share their expertise in a 90 minute webinar. They discuss:
The enhanced Pillar 2 approach: What impact does this have on existing risk management frameworks, policies, procedures and IRRBB models?
How do banks prepare themselves to benefit from potential synergies of leveraging and integrating IRRBB requirements to other on-going initiatives such as RDARR, Regulatory Liquidity, and IFRS-9?
Implications of simultaneously managing IRRBB and Liquidity Risk – what are the alignment challenges
Steps to ensure further integration and improved coordination across the Treasury, Risk Management, Finance in order to meet expectations.
About the Webinar
More About our Webinar Panelists
Professor Moorad Choudhry is the former CEO of Habib Bank AG Zurich in London. He is also Honorary Professor at University of Kent Business School, and Founder of The Certificate of Bank Treasury Risk Management (BTRM).
Previously Moorad was Head of Treasury at RBS Corporate Banking, Head of Treasury at Europe Arab Bank, Head of Treasury at KBC Financial Products and a Vice President in structured finance services at JPMorgan Chase Bank. He is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of IFS-University College and on the Board of Advisors of the Official Monetary and Financial Institutions Forum (OMFIF). He is author of The Principles of Banking (John Wiley & Sons 2012). .
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PROFESSOR MOORAD CHOUDHRY
Paul Newson has worked in banking for over 30 years in a career that has spanned Finance, IT and Risk Management. Most recently he was Head of Non-Traded Market Risk Oversight at Lloyds Banking Group. From 1999 to 2005 he led the Traded Risk team at the UK Financial Services Authority, and, prior to that, was Head of Trading Risk Systems for NatWest Markets. Paul, upon graduating from Oxford University, initially trained as a teacher.
During his subsequent banking career, he has always maintained a keen interest in delivering training. He lectured for five years at the City of London Polytechnic preparing students for the UK Chartered Institute of Bankers’ module in accountancy, has delivered many internal courses and, currently, presents the interest rate risk in the banking book course for the UK Asset and Liability Managers Association. .
Interest Rate Risk in the Banking Book
What does the BCBS's revised standards mean for banks?
Ali Salekfard is a certified Financial Risk Manager (FRM) and works primarily in the areas of market and liquidity risk. He is currently the Head of ALM at Aldermore Bank plc, and previously held similar positions at Bank of London & Middle East (BLME) and Societe Generale CIB (Newedge). He holds a Masters degree in Finance from Birkbeck College, University of London.
Ziauddin Ishaq is the Global Solutions Specialist for Treasury at Oracle Financial Services and currently advises and recommends enhancements to Oracle's risk offerings to help formulate robust industry risk solutions to meet the demanding requirements of Basel III and other regulations, particular in the field of Liquidity Risk, ALM and Stress Testing.
His past experience includes Head of ALM Product Control and Collateral Management at Emirates NBD. Prior to that, Ziauddin spent most of his career in London, part of which was at Citigroup as Head of UK Treasury Analytics and Balance Sheet Manager for GCC where he was responsible for all ALM analysis, including Liquidity, Market & IR Risk as well as Collateral Management.
Prof. Moorad Choudhry