RiskLab - Q Group Seminar [Melbourne]: Issues in the modelling methodologies and techniques for IRRBB

11 Apr 2019

Stephen McCarthy (NAB)


Data61 Demonstration Lab
710 Collins Street, Docklands, Melbourne

Dear Q Group members,

You are invited to attend a seminar “Issues in the modelling methodologies and techniques for IRRBB (Interest Rate Risk in the Banking Book)” given by Stephen McCarthy (NAB), at 5pm Thursday 11 April 2019, at Data61 Demonstration Lab (710 Collins Street, Docklands) in Melbourne.


Please use the following link for RSVP

Agenda: Thursday 11 April 2019

5:00pm Pre-drinks and food

5:30pm Seminar starts

6:30pm Networking


Data61 Demonstration Lab, 710 Collins Street, Docklands, a short walk from Southern Cross Station

Seminar Title: Issues in the modelling methodologies and techniques for IRRBB

Speaker: Stephen McCarthy, Associate Director, MRQS, Group Market Risk, National Australia Bank


Proper model design and construction is an essential pre-requisite to any robust interest rate risk estimation in the non-traded interest rate markets (IRRBB).

This talk outlines the many modelling aspects that a risk manager must assess and ensure are properly implemented so that the various interest rate metrics are fit-for-purpose for both regulatory reporting and internal management decision making.


Steve is a quantitative analyst in the Market Risk division of the National Australia Bank. His focus is primarily on model risks in wholesale pricing and quantitative credit/market risk estimation.


The Q Group Committee

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