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Course Calendar Course Calendar

Interest Rate Risk Management in Banking Books

Day One

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


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

Day Two

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

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