10th Edition: Banking Book Risk Management

Supervisory expectations have intensified around interest rate risk in the banking book (IRRBB) and credit spread risk in the banking book (CSRBB), making them no longer just compliance functions, but the strategic foundation of balance sheet management. As regulatory scrutiny rises on the integrity of IRRBB and CSRBB frameworks, banks are facing direct pressure to align modelling assumptions, risk metrics, and commercial decision-making. The ECB’s 2025 review found recurring weaknesses in SOT NII outlier breaches, CSRBB treatment, and assumption documentation.

The Marcus Evans 10th Edition Banking Book Risk Management conference will assess best strategies for mitigating banking book risks, from recalibrating IRRBB and CSRBB models to embedding risk outputs directly into steering and pricing decisions. It will examine evolving supervisory expectations around deposit modelling, NII outlier tests, and ICAAP submissions, along with how banks can strengthen frameworks to withstand regime shifts and prolonged rate volatility. Sessions will also cover the growing role of AI and machine learning in stress testing and behavioural modelling, while leading institutions will share best practices on aligning FTP with commercial strategy and enhancing ALCO governance under rate stress.

Attending This Premier marcus evans Conference Will Enable You to:

• Position ALM and IRRBB as strategic levers beyond compliance to optimise balance sheet performance
• Strengthen backtesting for NMD models and customer elasticity
• Leverage AI and machine learning to improve IRRBB stress testing
• Translate IRRBB and CSRBB outputs into commercial pricing levers to improve margin strategy and cross-functional alignment
• Establish economic capital models for IRRBB to strengthen ICAAP and strategic capital planning
• Strengthen hedging strategies and ALCO governance under rate stress

Best Practices and Case Studies from:

• Tullio Lucca, Head of Strategic Asset & Liability Management, Intesa Sanpaolo
• Micha Beekman, Head of ALM, Van Lanschot Kempen
• Andrea Ciaparrone, Head of ALM and Pricing, UniCredit
• Svetlana Kardan, Head of Balance Sheet Management and ALM, Monzo
• Konrad Kompa, Director, Balance Sheet Risk Management Department, mBank
• Danny Dieleman, Wholesale Banking Director Capital Treasury, ING

Special discounts available to treasuryXL members! For more information please contact Ria Kiayia, Digital Media and PR Marketing Manager at [email protected] or visit: https://bit.ly/4rhZFcR