RISK MANAGEMENT THOUGHT LEADERSHIP

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Credit Spread Risk in the Banking Book: from theory to practice (and back)

Prometeia complimentary webinar - July 4th, 11.30 AM CET

 

The Basel Committee on Banking Supervision, in its 2016 Standards on Interest Rate Risk in the Banking Book, defines Credit Spread Risk in the Banking Book (CSRBB) as “any kind of asset/liability spread risk of credit-risky instruments that is not explained by IRRBB and by the expected credit/jump to default risk”, stating that “CSRBB is a related risk that banks need to monitor and assess in their interest rate risk management framework”. 

Starting on 30 June 2019, the new guidelines published by the European Banking Authority (EBA) regarding monitoring and managing IRRBB enter into force for financial institutions in the European Union. CSRBB represents one of the major challenges, for which the EBA requires adequate monitoring and assessment.

Waiting for more detailed instructions by the European regulator for implementation, we promoted a web-based survey involving almost 50 financial institutions to understand how banks are approaching the assessment of their CSRBB, and to identify a common practice in preparation for compliance.

In this 30-minute complimentary webinar, Prometeia's subject matter expert Alina Preger illustrates the survey's main results and discusses possible supervisors’ expectations with the Head of Operational ALM of Unicredit Group, Umberto Crespi, also leveraging his expertise as a member of the European Banking Federation (EBF) ALM IRRBB Working Group.

 

The speakers

Umberto Crespi, Head of Treasury & ALM, Unicredit Group
Umberto Crespi has over 20 years of experience in the banking sector. He started his career in 1999 on the financial engineering desk of Fineco Bank SpA, and after eight years became the Head of Treasury & ALM. In 2007, Umberto moved to the Group Finance Department of UniCredit Group to cover different activities, and in 2010 was appointed Head of the Model and Interest Rate Strategy team within Group ALM & Financial Planning, with responsibility for behavioural models and banking book interest rate risk strategy. Currently, he is the Head of the Operational ALM team within Group Finance Department. Umberto is a member of the European Banking Federation ALM IRRBB Working Group and the ASSIOM FOREX ALM Commission. He has a degree in monetary and financial economics from the Bocconi University in Milan.

Alina Preger, Head of ALM & Liquidity competence line, Prometeia
A partner at Prometeia since 2018. In Prometeia since 1999 after graduating in Economics cum laude at Bologna University. She has developed her expertise in ALM, being in charge of several projects for the banking sector. She is now Head of the ALM & Liquidity competence line within the Prometeia Enterprise Risk Management area, coordinating R&D activities for ALM and innovative pilot projects. She leverages her strong experience in ALM projects, covering interest rate risk, liquidity risk, Funds Transfer Pricing and planning, both in Risk Management and Finance departments for some major Italian and international banking groups. She also supported the Italian Banking Association (ABI) in training courses for bank professionals.

Credit Spread Risk in the Banking Book: from theory to practice (and back)