Learn how to evaluate interest rate risk in the banking book and its impact on a bank’s balance sheet and earnings.

In recent years, interest rate risk in the banking book (IRRBB) has moved up the priority list for regulators. Banks are maturing their IRRBB frameworks and models against a backdrop of evolving regulatory requirements and a challenging interest rate environment.

This interactive course provides a practical understanding of interest rate risk and how it is managed in context of new standards for IRRBB being introduced in 2018. Throughout the course we will use spreadsheet models based on the balance sheet of a typical universal bank to illustrate how the risk is modelled.  The course will equip participants to:

  • Use a structured approach to evaluate the impact of interest rate risk in the banking book on the overall risk profile and capital requirements of a bank
  • Identify the main types of interest rate risk, how they arise and impact a bank’s balance sheet and how they are managed
  • Understand how the risks are measured, monitored by banks and the uses and limitations of the key metrics typically used to manage and report these risks
  • Review in depth the new IRRBB standards, and the responsibilities for banks and supervisors
  • Recognise the key practical issues faced by banks in managing IRRBB and in compliance with the new standards.

Who should attend?

The course is aimed both at those new to a role within IRRBB management itself and at those working in other functions who seek a general overview of IRRBB.

  • IRRBB managers and analysts
  • ALM professionals and managers
  • Treasury
  • Regulatory and governance specialists
  • Risk managers and analysts
    Internal auditors
  • Central bankers and supervisors
  • Management consultants