Market Risk Management in Banking (Part 2)

This webinar offers practical guidance and recommendations to help UK-based financial institutions (UKFIs) implement the Operational Resilience guidelines. The scope includes addressing issues related to the following: Overview the latest equivalent operational resilience guidance in other countries and internationally. Identify key issues related to risk culture, risk appetite, information technology, tolerance setting, risk modelling, scenario planning and customer-oriented OR. Identify a framework for an OR plan based on a thorough understanding of these parameters; design and implement an OR maturity dashboard. Recommendations for further action, including enhanced controls and operational risk management frameworks.

The UK Financial Regulators (Bank of England, Prudential Regulatory Authority and Financial Conduct Authority) prioritize Operational Resilience (OR) to ensure firms can maintain service continuity and support financial markets during disruptions. Firms must establish and test clear service standards, embed OR into daily operations and strategies, and ensure senior management and Boards take responsibility for resilience. With regulations to be fully implemented by March 2025, firms face both challenges and opportunities in interpreting and applying these requirements.

Part 1: Unlocking New Horizons: Actuaries Beyond Insurance and Pensions The Fundamental Review of the Trading Book (FRTB) was introduced by the Basel Committee on Banking Supervision (BCBS) in the years following the Great Financial Crisis of 2007-2009. Its aim was to revamp the approach to calculating market risk-based capital requirements for trading activities. This two-part webinar series provides an opportunity to learn about market risk management in banking, how actuaries can assist with market risk measurement, and an introduction to the Basel III FRTB regulation. The series will also present a hypothetical case study for calculating market risk capital under the FRTB's standardized approach, which is the default market capital requirement for all banks within its scope.

Historically, the actuarial profession has been synonymous with the insurance and pension industries. However, the technical skillsets and professional standards offered by the profession can be applied across diverse industries and sectors. Banking and finance is one of the prominent industries where actuaries can add tangible value by undertaking non-traditional roles. Even though banking business models have evolved significantly, bank’s overall profitability remains primarily driven by net interest income (NII) arising from their core banking book. Over the last decade interest rate environments across the globe have demonstrated significant volatility, which has led to adverse impacts on net worth and profitability for banks. In order to curb the impact of adverse interest rate movements on banks' resilience & profitability, banks need a robust framework to measure, manage, and set aside adequate capital for interest rate risk in the banking book (IRRBB). This webinar offers the application of practical examples on the measurement and modelling of interest rate risk for banks and how actuaries can assist banks with the same scenarios.