Understand how the volatile interest rate environment and its effect on IRRBB and CSRBB is impacting banking book risk management and ALM across financial institutions

Interest Rate Risk is a top priority for financial institutions in the current environment as interest rates have changed massively over the last 12-18 months and this is impacting how much risk they are exposed to. Banks need to adjust their balance sheet and ALM strategies to make sure that they stay liquid and profitable as the value of different assets change as a result of changing rates. As well as just a change in the environment, a key focus is the knock-on impact that this has on customer behaviour as people’s spending and saving habits change as a result of changing interest rates. The last 2 years have seen huge changes in customer saving and spending habits and banks are trying to understand how this will continue to change over the next 12 months. Banks need to ensure that they can maintain an optimal interest rate risk management strategy where they can attract savers and borrowers whilst also staying liquid and profitable.

The marcus evans 7th Annual Banking Book Risk Management conference taking place in Amsterdam, Netherlands on 5-7 February, 2024 will provide delegates with the opportunity to hear from experts in banking book risk into how they are integrating the new regulation into their strategies as well as meeting the growing challenges relating to the macroeconomic environment. There will be case studies into how changing rates are impacting customer deposits and what interest rate risk professionals can do to minimize the risk of deposit flight. The event will also look into how to better monitor and model for changing interest rates to ensure that the impact on the balance book can be reduced and profit margins can still be met. Finally, there will be discussions into the relationship between interest rate risk and funds transfer pricing and how these strategies can be used to ensure optimal product pricing in the growing interest rates environment.

Topics Covered:

• Best practices to ensure effective interest rate volatility management 

• Develop predictive models to assess changing customer behavior in a volatile interest rate scenario 

• Maintain an accurate and effective approach of the latest EBA’s guidelines on IRRBB 

• Understand the best practice to approach deposits’ pricing and modelling 

• AI and ML: Do they represent the future of banking book risk management? 

• Consider enhancing stress testing practices to monitor interest rate fluctuations

Best Practices and Case Studies from:

• Alexander Tsorlinis, Head of Market Risk Management, Raiffeisen Bank International AG

• Andreas Haider, Head of Market and Liquidity Risk Controlling, Volksbank Wien AG

• Gennaro Salzano, Head of Group Banking Book Modelling and Measurement, Intesa Sanpaolo

• Suresh Sankaran, Head of Model Risk Governance, Metro Bank

• Ankit Dixit, Head of Treasury Mid Office,  Al Masraf

• Thomas Ribarits, Director, Head of Group Financial Risk Department,  European Investment Bank

For more information and registration discounts please contact: Ms Ria Kiayia, Digital Media and PR Marketing Executive at riak@marcusevanscy.com or visit: https://bit.ly/3PSrvKG