ALMA - Interest Rate Risk in the Banking Book |
Background
This one day course covers the main techniques typically used to measure interest rate risk in the banking book and how (and why) these differ from those used to measure similar risks in a trading book.
It assumes no prior knowledge and is, therefore, suitable for those new to a bank or building society ALM/Market Risk function. It is also suitable for more experienced staff from:
• ALM
• Audit
• Finance
• IT Systems
Course Design
The course begins by introducing the basic tools such as discounted
cash flow, how a bank balance sheet is structured and some
fundamental accounting concepts. It then describes how both
income and value measures are used to quantify exposure to
interest rate moves as well as how such risks may be hedged; the
final section covers some more problematic areas such as
investment of net free reserves and how credit impairments can
alter the interest rate risk profile.
All key concepts are reinforced by short practical exercises during which participants will build their own simple Excel spreadsheets to measure risk.
Course Tutor
Paul Newson is currently Head of Banking Book Oversight in the Group Market Risk function of Lloyds Banking Group. His career has spanned finance, IT and, for the last ten years, market risk management.
Paul spent the bulk of his career at National Westminster Bank, and this was followed by a five year spell at the Financial Services Authority where he led the Traded Risk specialist team.
Paul also has extensive training experience; he originally qualified as a teacher and later worked for many years as an evening class lecturer at the City of London Polytechnic teaching the accountancy module of
the Chartered Institute of Bankers diploma.
Location
Hosted by the Nationwide Building Society at the Alexandra House hotel, Swindon
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