About the Course
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.
Day one will present an overview of the regulatory landscape, a comparison of value and income metrics, the most common hedging strategies, and IRR challenges such as non-dated liabilities and their hedging.
Day two of the course outlines current and future issues in IRRBB governance, measurement solutions, the key challenges of running stress testing exercises, and behavioural modelling assumptions.
The course is held under Chatham House rule to promote an open and discussion based learning environment and the sharing of best practice approaches.