marcusevans pan asia conferences

Interest Rate Risk in the Banking Book

See practical examples of modelling approaches for EVE and NII, and understand the assumptions and behavioural scenarios involved

20-22 Feb 2019
Singapore, Singapore

Why You Should Attend

Interest Rate Risk in the Banking Book

 APAC regulators will largely be looking to finalise the IRRBB regulations in the coming year, and banks are starting to turn their focus on IRRBB implementation. While the methodology is more or less confirmed, IRRBB still presents problems for banks. Beyond figuring out what regulators have decided regarding date implementations and the specific limits, banks want to know how to overcome the inconsistencies in regulations for things such as NII and EVE, amongst jurisdictions for comparison to be made possible across banks. What makes modelling for IRRBB so complex is the need for assumptions and scenarios to be created in order to model customer behaviour accurately. This is further compounded by the lack of data available for more accurate modelling, and banks need to look to filling this material gap by either updating their systems for enhanced functionalities, or consider purchasing new systems to cope with the large volume of business involved in IRRBB.

Attending this marcus evans conference will give market risk managers a large picture view to IRRBB implementation, before narrowing down into the specifics of IRRBB modelling, for a deeper insight in the assumptions to be used, as well as model governance and management. Delegates will also be able to gain a better understanding on behavioural analysis, to better model customer behaviour by drilling down on the products the bank offers, and how different scenarios like interest rates can affect behaviours. They will learn how to overcome data challenges in order to model the risks for the bank accurately and for more compliant IRRBB reporting.

Key Topics

  • Having a view to the modelling methodologies and techniques
  • The issue of EVE and NII in IRRBB modelling?
  • The BOQ journey on IRRBB
  • Looking at IRRBB in conjunction with the balance sheet and capital
  • Understanding what are the products that complicate behavior analysis

  • Why Choose marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

    Event Sponsors
    Gold Sponsor
    Moody's Analytics Hong Kong Limited
    Visit website >>

    Voice of Our Customers
    • Very, very helpful. Please do it again. Morgan Stanley
    • Very good event. Bringing a very impressive group of experts. Scotiabank
    • Well organised, pleasant organisers and time well managed. Barclays
    • All of the sessions were very information for me, if I have the chance I would like to join again. Mizuho
    • A great conference on an important and difficult topic. Bank of Montreal
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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Miss Bernardine Michael - Marketing Director (Asia Pacific, Middle East and Africa)

    marcus evans Kuala Lumpur , Suite A-20-1, Level 20
    Hampshire Place Office, 157 Hampshire, 1, Jalan Mayang Sari
    50250 Kuala Lumpur

    Fax: 0060327236699