G. Managing Interest Rate Risk and Balance Sheet Volatility in Uncertain Markets

Roundtable Booking

2026-09-24 | 01:30 PM - 02:15 PM

How are firms reconciling implied vol pricing and the forward curve as inputs to scenario selection when the two are pointing in different directions on the rate path?
Are hedging programs actually reducing NII and EVE volatility, or are they transferring rate risk off the report and onto basis, liquidity, or counterparty exposure?
How are ALM teams re-parameterizing non-maturity deposit models when deposit betas from the last hiking cycle are actively misleading rather than simply imperfect?
Are ALCO hedging decisions being made on a fixed reporting cycle by default, or have firms defined explicit sensitivity thresholds that trigger an out-of-cycle review before positions move further?
When hedge drag and convexity costs are calling the value of a rate risk program into question, how are firms navigating the governance gap between the CRO, treasurer, and ALCO where no single party has unilateral authority to restructure or exit?