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1 - 2 July 2021
Virtual Masterclass

Led by Maurizio Garro

Maurizio Garro works as a Senior Lead for the IBOR Transition programme at Lloyds Banking Group, where he is leading the delivery of the changes required for models, curves and products for the transition to the alternative risk-free rates for the Front and Back book.

His background is in quantitative risk management, Model Risk, Market Risk, Counterparty Credit Risk, Pricing, Liquidity and Stress Testing. He has been involved in leading the design and implementation of AI/ML for application in Finance. He has a long-standing experience as an internal auditor, consultant and banker in model risk management and previously worked in the Development and Validation teams of top-tier financial institutions in Europe, U.S., and the U.K. for over 17 years.

Managing IBOR Transition

TOP LEVEL MASTERCLASS SUMMARY

This 2 half-day programme has been designed to provide a cutting-edge knowledge of the current leading practice for IBOR transition to take care of business issues. This includes the most critical aspects of the transition, key impacts and common practice to address them to help you to drive an effective innovation and transformation in your organisation.

It covers the fundamental technical concepts including regulatory landscape, project management, key risks (including model risk),data management, tough legacy and AI/ML support.

This course will help you to learn the technical and business knowledge of the IBOR transition and the most common practice of the financial industry to drive through this unprecedented transition. 

Practical examples will be used to apply theoretical ideas to practice.

WHAT MAKES THIS COURSE DIFFERENT

  • Fundamental of the IBOR transition and key impacts
  • Overview of the current leading practice to take care of business issues during the IBOR transition
  • Application of common practice in financial institutions to help you to drive an effective innovation and transformation in your organisation.
  • Deep dive in the tough legacy issue
  • Empirical examples will be used to apply theoretical ideas to practice.

COURSE OBJECTIVE

  • Get a foundation of the IBOR transition and key impacts
  • The focus is on the main aspects of the IBOR transition, emerging issues, and established practice to address them including tough legacy issues
  • Having explained the different approaches to the IBOR transition, their applications, and associated limitations
  • You will gain a practical understanding of the fundamentals of the IBOR transition and their business implications, receiving the skills set to transform your organization by converting uncertainties regarding the transition into impactful opportunities for business growth. 
  • Upon completion of the course, you will be ready to apply your knowledge to support informed strategic decision making around the IBOR transition in your business.

COURSE CONTENT

1st half-day

Introduction: IBOR transition overview

What is IBOR transition?

  • Background of the transition and current status
  • Key aspects and business impacts of the transition
  • The path to the 2021

Industry context

  • Working groups for RFRs
  • Key update from the regulators
  • Key impacts, risks and other challenges of the transition

2nd half day

Focus on model risk and tough legacy

  • Assess model risk
  • Common practice for model risk management and governance
  • Overview of the current challenges on a world-wide perspective
  • Review of the possible options to address the issue

AI and ML

  • Can AI and ML help?
  • Business cases

Path to the end of transition

  • Expected challenges
  • Next steps