Vienna training session looking at new Basel standards for banking book interest rate risk management

A current training session in Vienna is focusing on revised standards for banking book interest rate risk management as set out in paper D368 of the Basel Committee on Banking Supervision (BCBS), which was published in April 2016.

The agenda for the March 15-16 session, Interest Rate Risk in the Banking Book MasterClass (IRRBB Training), includes comparing the D368 standards with the original standards of 2004.

Examining the interaction of banking book interest rate risk management with other areas of regulation, with topics such as risk transfer, fund transfer pricing, and interactions between the banking book and the trading book, is also on the agenda.

The session’s programme also includes a role-playing exercise to train engagement with a regulator and “what if” scenarios to give participants a feel of how different assumptions can affect regulatory reports.

The session is being led by Gary Dunn, a private consultant and formerly a senior risk analyst at Morgan Stanley, a senior manager at HSBC, and a statistician at the Bank of England.

The session has been organised by event management company Global Leading Conferences (GLC).

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