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Course Calendar Course CalendarInterest Rate Risk Management in Banking Books
The Basel Committee of Banking Supervision (BCBS) published in April 2016 the final Standards for interest rate risk management in banking books. These standards are part of the Capital Framework´s Pillar 2 (Supervisory Review Process) and lay out the regulatory standards for banks to identify, measure, monitor and control IRRBB. Banks are expected to be fully compliant with these standards by 2018.
In this two-day course, we address the challenges imposed by the new recommendations and examine their impact on internal banking book risk management and reporting procedures.
The programme focuses on the two main classes of risk measure used in IRRBB - economic value of equity and net interest income - linking them to capital management practices and regulatory capital allocation demands (Basel III).
Case studies draw on international best practices in applying risk measures. Particular attention is dedicated to the construction of relevant stress scenarios and the construction of compliant behavioural models under shock and stress regimes.
Recommend to a Colleague- Date:
- Please contact us
- Venue:
- Central London
- Fee:
- Banking Book Risk Managers
- Managers of Banking Investment Books
- Corporate Treasurers
- Asset Liability Managers and other ALM professionals
- Management Accountants
- Financial Accountants
- Internal Auditors
- Central Bank Managers of Investment Books
- Understand and apply IRRBB framework in a practical context
- Expand on existing understanding of interest rate risk management and ALM best practices
- Learn how to apply specific techniques for analyzing and reporting risk in banking books
- Gain insights into regulator designed measures of risk
Typical participants will have been in financial services for over 3 years and possess a working knowledge of risk management. They will also have a thorough understanding of interest rate products such as bonds and swaps, as well as an operational grasp of interest rate options, to the level of detail covered in the 'IRD1 programme'. Participants should also have:
- Basic knowledge of algebra, elementary calculus and statistics
- A working knowledge of Excel
A quick review of the fundamentals of interest rate risk measurements
- Duration
- Convexity
- DV01, PV01
- The Options Greeks
Banking Book measures
- Repricing Gaps
- Maturity (Liquidity) Gaps
CSRBB
Case Study: Deriving Economic Value of Equity via multiple means
- Banking books vs Trading books - A business driven segmentation
- Banking books vs Trading books - Regulatory boundaries
Case Study: Limits to product transfers between books under IRRBB
- Governance Principles
- Risk appetite identification embedded in IRRBB regulation
-
IRRBB standards for risk measures
- Economic Value
- Earnings
- Assessment Horizons
- The 6 Scenarios specifications and recommended computational steps
Duration of Equity, EVE
Case Study: Changes in EVE under the 6 Scenarios
Case Study: Changes in NII under the 6 Scenarios
- Treatment of Basis Risk within IRRBB
- Example of Negative Basis Investment Portfolio
Use of Behavioural Models for products with no defined maturity - Applications of Principle 5
- Replicating Portfolios
- Stochastic Optimization Models
- Option Adjusted Spread Models
Best Practices MIS and Reporting disclosure
Link to Capital Adequacy (ICAAP)
Impact for External Auditors and Bank Supervisors
Course Details
- Date:
- Please contact us
- Venue:
- Central London
- Duration:
- Please contact us
- Fee: Please contact us

Call now for more information on this course or to book:
EMEA +44 (0) 20 7378 1050
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London Financial Studies is registered with GARP as an Approved Provider of Continuing Professional Development (CPD) credits.