Course overview:

This one-day workshop provides comprehensive coverage of business best-practice approach to IRRBB, to ensure optimum compliance with Basel Standards. It explains the process and implementation of an efficient IRRBB measurement, reporting and hedging framework in clear and practical terms, to enable delegates to acquire an understanding of best-practice IRRBB principles, and how they can be integrated into ALM policies, thus optimising the bank’s risk management framework. 

A well-designed IRRBB framework enables a bank to pursue its strategic objectives, conversely a poorly implemented IRRBB framework can lead to long-term damage to a bank’s balance sheet structure and risk management position, not to mention material additional Pillar 2a capital add-on.  

The workshop provides delegates with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk. Key topic areas including approaches to measurement and reporting, stress testing and disclosure requirement are covered in practical detail.

Learning outcomes:

By the end of this workshop, you will be able to: 

• Understand the value and importance of an effective IRRBB risk management framework 
• Be able to ensure best-practice measurement, reporting and hedging for your bank’s IRRBB process 
• Understand the use, calculation, and application of the two reporting measures (Net interest income (NII) and economic value of equity) 
• Implement a best-practice IRRBB regime in your bank 
• Integrate IRRBB risk management into the bank’s risk appetite statement.

Interested in taking any of our workshops in-house?

Whether you are seeking to upskill your team, enhance productivity or foster a culture of continuous learning, we can deliver customised training programmes designed to meet your specific needs. If you have an enquiry, you can complete the in-house form and our training team will be in touch with next steps.

In-house training

See related workshops in our Prudential Risk series below.

Over the last two years we have trained over 300 delegates, including Prudential Risk Managers, Compliance Managers, Chief Financial Officers, Prudential Risk Analysts, Finance Directors and Heads of Treasury.