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Advanced Interest Rate Risk Management

Training course by Risk Training

London, 11-12 March 2019

Prometeia is among the speakers of the incoming Risk's training course on Interest Rate Risk for the Banking Book, specifically designed for senior practitioners and those working in IRRBB, ALM or the Treasury function. Among the issues: hedging strategies, behavioural modelling and stress testing.

Prometeia will inaugurate Day 2 and will deal with IRRBB:Governance.

Topics covered:

  1. Existing IRRBB frameworks and Basel, EBA and PRA requirements
  2. Impacts of FRTB reviews
  3. UK vs EU vs US
  4. EVE & NII metrics
  5. Supervisory outlier test – full cash flow EVE
  6. Governance frameworks
  7. Evaluating and setting up your IRRBB governance
  8. Change management and control vs business unit modelling – who should control what?
  9. Possible implications of Brexit

Prometeia's Speaker

Sophie Xilan Zhishui He - Prometeia

Sophie Xilan Zhishui He  Manager
Sophie is a manager at Prometeia for the Enterprise Risk Management Area, where she worked on methodological and organisational advisory, solutions implementation and international business development. Her expertise regards mainly the definition and implementation of ALM and Treasury risk processes, solutions and methodologies in EMEA banks with a particular focus on FTP and performance management, having acquired experience in defining the FTP curves and FTP framework in illiquid markets during projects with major banks across the region.