Interest Rate Risk in the Banking Book

This two day course will provide attendees with a key insight into challenges in implementing IRRBB, setting up and evaluating your IRRBB governance, and an overview of the approaches to behavioural modelling and IRR.


Interest Rate Risk in the Banking Book 

Toronto, 14 & 15 November 2018

View Full Agenda Pricing and Registration

The multi tutor format of 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 exercises and examining enhanced disclosure requirements

Learning Outcomes

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

  • What the IRRBB regulatory landscape looks like
  • The value and income metrics approach
  • Challenges in implementing IRRBB
  • The evolution of IRRBB systems and processes
  • Key challenges of running stress testing exercises
Who Should Attend?

This course is primarily aimed at those working with the BCBS in the financial industry that are affected by Basel III and interest rate risk in the banking book however Risk welcomes anyone who would benefit from this training. Specific job titles may include but are not limited to: 

  • Chief Risk Officer 
  • Head of Interest Rate Risk 
  • Interest Rate Risk Manager
  • Asset-Liability Management 
  • Market Risk Analyst/ Manager
  • Treasury Risk Analyst/Manger
  • Liquidity Risk 
  • Risk Modelling
  • Treasury Risk
  • Non-Traded Risk 
  • Balance Sheet Risk 
  • Stress Testing 
Course Highlights
  • Understanding the regulatory requirements
  • The different challenges of using the Value and Income Approaches 
  • Examining and comparing the different metrics employed
  • Discussing the current and potential future regulatory requirements
  • Understanding of modelling and relevance of commitments
  • Challenges of backtesting and validation of models

Robert Paolino

Former CRO & Head of Risk for two of the largest Global Banks operating in Canada