Thank you to all the participants for making this event a great success!
Finance and Risk Institute hosted a workshop on “Interest Rate Risk in the Banking Book (IRRBB): The New Basel Framework” September 19, 2016 at the Gefinor Rotana Beirut Hotel from 9:00am to 17:30pm.
This workshop featured a renowned speaker and banking expert :
||Mr. Jad G. Doumith, CFA, FRM
Founder and CEO of Finance & Risk Institute (FRI)
This workshop provided an in-depth and detailed coverage of the newly proposed IRRBB framework by the Basel Committee including the proposed Pillar I Standardized Approach which banks can elect to adopt or regulators can decide to make mandatory for Banks within their jurisdiction.
The workshop elaborated on the revised Interest Rate Risk principles and will cover in detail the treatment of all interest rate sensitive positions and Behavioral Options including Non-Maturity Deposits (NMD), Term Deposits, Fixed Rate Loan Commitments and Prepayments on Fixed Rate Loans. The discussion focused on the calculation of the Standardized EVE Risk measure under all possible interest rate shock scenarios of the proposed Standardized Approach. The workshop concluded with potential applications to the ICAAP required by regulators.
The workshop also provided coverage of the best practices in managing Interest Rate Risk in the Banking Book (IRRBB) including the measurement of IRRBB via the earnings based and the economic value of equity (EVE) approaches and the major differences and assumptions underlying both approaches.
The Workshop focused on the several methods used to capture all types of interest rate risk namely Repricing risk, yield curve risk, basis risk and optionality risk arising from both behavioral options and explicit options contracts sold by banks. The discussions tackled in a practical way many of the major concepts in interest rate risk management including duration and convexity of interest rate sensitive assets and liabilities, in addition to deriving and calibrating interest rate shock scenarios.
Please download the workshop outline from this link
for more details on the topics covered.
ABOUT THE SPEAKER:
||Mr. Jad G. Doumith, CFA, FRM
Mr. Jad Doumith is the founder and the CEO of Finance and Risk Institute (FRI). FRI is an entity fully dedicated to promoting financial and risk management knowledge in Lebanon and the Middle East region. FRI is today the undisputed leader in the Lebanese market for CFA and FRM classes as it serves more than 150 candidates per year.
Mr. Doumith has an extensive experience in lecturing in most topics of the CFA and FRM programs, particularly in the areas of Risk Management, Derivatives, Fixed Income Securities, Equity Investments, Portfolio Management and Quantitative Methods among others. He currently teaches all these topics for the CFA Levels I, II and III programs and the FRM Parts I and II programs at FRI.
In addition, he was a Senior Examiner at the Banking Control Commission (BCC) which he joined in January 2007. He was in charge of Market and Interest Rate Risk Assessment and specialized in areas related to financial markets and instruments including investment funds and structured products. During the past nine years, Mr. Doumith was also heavily involved in proposing and helping in the drafting of regulations related to the fields above, in addition to designing regulatory stress tests, conducting onsite risk assessment missions and monitoring banks’ portfolios of financial instruments. Starting early 2012, Mr. Doumith became also a supervisor in the department in charge of the offsite supervision of Banks, Financial Institutions and Leasing Companies.
Finally, Mr. Doumith gives the preparatory course for the “Lebanese Banking Regulations Qualification” at ESA where he handles all the topics covered in this course.