Interest Rate Risk in the Banking Book

This training course will provide attendees with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk.

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Interest Rate Risk in the Banking Book

London, 21-22 February, 2018


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This training course will provide attendees with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk. The course will cover a range of key topic areas including approaches to implementing a measurement and reporting solution, addressing key challenges of running stress testing excercises and examine enhanced disclosure requirements.

Who Should Attend

This course is primarily aimed at those working with the interest rate risk in the banking book regulation however Risk Training welcomes anyone who would benefit from this training. Specific job titles may include but are not limited to:

  • Risk Modelling
  • Asset-Liability Management
  • Market Risk
  • Treasury Risk
  • Liquidity Risk
  • Balance Sheet Risk
  • Stress Testing
  • Credit Risk
  • Capital Management
  • Regulatory Reporting
Learning Outcomes

By the end of the two days, delegates will have new or improved knowledge of:

  • Key IRR Challenges including behavioural assumptions, yield curve risk and basic risk
  • Approaches to modelling IRRBB
  • Current and future IRRBB governance considerations
  • Understand the regulatory landscape including lessons from the ECB 2017 stress test
  • Defining IRRBB risk appetite
  • Using disclosure requirements to enhance current IRRBB practice
Course Highlights
  • Assess the IRRBB regulatory landscape post-implementation
  • Understand the value and income metrics approach
  • Identify a risk measure that effectively captures CSRBB
  • Examine the evolution of IRRBB systems and processes
  • Address key challenges of running stress testing exercises
  • Industry experts and experienced practitioners make up a multi-speaker format