IRRBB
After the entry in force of the 2019 EBA guidelines on IRRBB, the regulatory expectations are still strengthening up. On the Pillar I side, the guidelines have been translated in Regulatory Technical Standards, and the standardised supervisory outlier tests are being revised by the European Banking Authority. On the Pillar II side, new requirements are introduced, among other which the modelling of credit spread risk
Moreover, the interest rate environment is becoming more uncertain than it ever was since more than 20 years, and all the internal models will probably be put to a live test in an environment they never experienced.
In this context, it is especially important to rely on seasoned experts, with a proven track record of developing and validating IRRBB solutions. Our IRRBB service is a comprehensive modular approach guaranteeing compliance and addressing data, analytics, modelling, and reporting issues. It extends from identifying the interest and credit spread risks and assessing the potential gaps, to designing measurement and monitoring solutions. In addition, it tackles the automation of risk processes, the framing of effective internal controls and the design of management information systems, ensuring a strong comprehensive governance of IRRBB.
How does Finalyse address your challenges?
We help in the identification of the gaps compared to the regulatory and internal requirements, and we propose a remediation plan, by designing a complete and transparent interest rate risk framework.
We bring in the experience of a multidisciplinary team of experts with extensive exposure to regulatory and non-regulatory models. We help in enhancing the models to provide a state-of-the-art analysis of the balance sheet dynamics, with all its optionalities both on the assets (prepayment risk, cap/floors, …) and the liability (non-maturity deposits) side
We provide a solid and transparent implementation of the IRRBB framework, tailored to the complexity of your institution. By increasing the automation of the process, we ensure timeliness of the calculations, and we reduce the operational risks associated with lengthy and repetitive manual interventions, allowing your team to focus on tasks of highly added value.
Finally, we ensure the integration of your interest rate risk models in the institution’s business decisions.
In the current economic and regulatory environment, a well-designed IRRBB framework can prove essential for your business models’ success. With its proven track record and hands-on experience in developing or validating IRRBB and ALM projects, Finalyse brings you tailored solutions for managing your interest rate risk.
Key Features
- A healthy mix of quantitative, business and regulatory profiles for all your interest rate risk needs.
- Methodologies tailored to your institution’s needs, with the adequate sophistication level. Transparency and explainability of the models through adequate presentations and dashboards.
- Keeping tracks of the European regulatory progression on IRRBB models as well as more local initiatives to ensure we have the best practices in place.
Our subject matter experts
François-Xavier is a Principal Consultant with advanced expertise in Financial Markets, ALM and Risk Management, covering both banks and insurance companies. On the banking side, François-Xavier is a practice leader on Valuation, IRRBB, FRTB, VaR, Initial Margin and Counterparty Risk, well acquainted with the regulatory requirements and the market practices surrounding market risks. On the insurance side, François-Xavier has extended experience in the regulatory treatment of financial instruments, ORSA, and hedging balance sheets against interest rate, credit spread and inflation risks.
Augustin de Maere is a Principal Consultant based in Finalyse Brussels, leading the Market Risk & ALM practice with François-Xavier Duqué, with a specific focus on Interest Rate Risk and Economic Capital modelling. He has been involved in the development or validation of several interest rate models, covering all the aspects of the model chain, from interest rate scenario generators to the calibration of behavioural models (non-maturity deposits, …) and the building of portfolio revaluation engine.
David Boavida is a consultant with more than 4 years of experience in the modelling and management of both Market & Liquidity Risk, and a strong ALM expertise. In particular, his main areas of expertise lie within IRRBB & CSRBB. His technical skills cover a range of multi-purpose programming languages, including Python, R and MATLAB. David also has a comprehensive knowledge and experience of Basel III Regulatory Reporting, Liquidity and Funding Risks and Stress Testing.