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Interest Rate Risk Management in Banking Books

Overview Teacher Outline Brochure

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.

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  • Date:
  • Please contact us
  • Venue:
  • Central London
  • Fee:
Who The Course is For
  • 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
Learning Objectives
  • 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
Prior Knowledge

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

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