Webinar IRRBB —new EBA and BaFin requirements

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30 November 2018 14:00 - 14:45 CET (08:00 EST, 13:00 GMT)

We are pleased to offer you the opportunity to take part in the webinar “IRRBB—new EBA and BaFin requirements”. The publication of the new EBA/GL/2018/02 guidelines and the new BaFin 09/2018 (BA) circular on interest rate risk arising from non-trading book activities contain a number of new regulatory requirements for managing interest rate risks in Pillar 2 and Pillar 3. These publications pose a multitude of challenges to institutions: from risk determination in net present value and periodic risk perspective to governance issues to requirements for determining the standard interest rate shock.

zeb provides you with an overview of the current challenges:

  • Increased supervisory focus on determining and managing the interest rate risk from a present value and periodic perspective, including the consideration of valuation effects under commercial law in terms of a dual interest rate book management.
  • Stricter requirements, such as new models and suitable parameters, for including implicit options in the banking book.
  • Demand for comprehensive documentation of models and assumptions, including sensitivity analyses, as well as a consistent limit system for all significant sub-risk types of interest rate risk.
  • Consideration of extensive methodological specifications to determine the standard interest rate shock (e.g. choice between internal vs. external interest rate) and the positions to be included (e.g. maximum duration constraint).

zeb offers you a comprehensive overview of the topic and is happy to share best practice approaches from our long-standing experience in asset and liability management. We present these approaches with our proven zeb control risk - ALM solution that enables your company to quickly and cost-efficiently meet the challenges of IRRBB.

You can easily log in to the webinar online from your workplace or home and directly ask questions or exchange ideas with the other participants.

Event details

Corporate Banking, Retail Banking
Geographic Focus