Roundtable: Banking Risk and Regulatory – IRRBB

Deloitte Romania is honored to invite you to the Banking Risk and Regulatory Roundtable, organized on the 26^th of June at 9.00 am at Deloitte premises (The Mark Tower, 82-98 Calea Grivitei, Bucharest).  

Interest rate risk arising from non-trading book activities (IRRBB) is an important financial risk for credit institutions, which is considered under Pillar 2. The supervisory framework assumes that banks develop their own methodologies and processes for identification, measurement, monitoring and control of this risk. These methodologies and internal processes, including the assumptions used, are subject to the supervisory review and evaluation process carried out by supervisory authorities.

The final EBA guidelines issued in July 2018 are build upon the EBA guidelines published on 22 May 2015 and take account of existing supervisory expectations and practices including the Standards on interest rate risk in the banking book published by the Basel Committee on Banking Supervision (BCBS Standards) in April 2016.

It is expected that institutions apply these guidelines from 30 June 2019 and reflect the guidelines in the 2019 ICAAP cycle, i.e. ICAAP reports presented in 2020, based on end-year 2019 data, should take these guidelines into account.

Agenda

1. Key changes introduced by the updated IRRBB guidelines

2. Main challenges in the implementation of the revised IRRBB framework

3. Implication of the updated guidelines in terms of methodologies and metrics

4. Main methods to measure IRRBB – Net interest income and Economic Value of Equity

5. Scenarios

a. Ongoing management
b. ICAAP - stress tests and reverse stress test
c. Supervisory Outlier Test

6. Basis risk

7. Credit Spread Risk in the Banking Book

8. Cash flow modelling – unconditional & conditional

9. Balance sheet assumptions – run-off, static, dynamic

10. Governance and model risk management

Speakers

Dimitrios Goranitis – Partner – Financial Services Industry Risk and Regulatory Leader, Deloitte Central Europe

Marcin Pawlik – Manager - Financial Services Industry Risk and Regulatory Advisory, Deloitte Poland

Andrada Tanase – Manager – Financial Services Industry Risk and Regulatory Advisory, Deloitte Romania

The roundtable will be of particular interest to Chief Risk Officers, Chief Financial Officers, Head of Audit and bank specialists involved in risk management, financial and regulatory reporting, ALM and internal audit.

The participation is free of charge and is based exclusively on invitation and registration. The event will be held in English.

Please register at this event until 24^th June, 2019 by accessing this link .
If you experience difficulties with online registration please contact Andra Popa.