Interest Rate Risk in the Banking Book
Day 1 covers the basics of IRRBB – what it is and how typically it is managed and controlled. No prior knowledge is required or assumed. Day 2 then looks at some more advanced topics including behavioural risk, what constitutes best practice in respect of internal IRRBB governance and then considers the recently announced changes to the regulatory requirements and the impact these may have on banks. The course is designed so that delegates may opt to attend either both days or just one of the two days on a stand-alone basis. Delegates, however, considering attending only Day 2 should review the Day 1 course outline in detail to ensure that they are fully conversant with the subject matter as knowledge of this will be assumed.
17th – 18th April 2023
Face-to-face at etc.Venues Bonhill House
1 -3 Bonhill St, London EC2A 2DT
ALMA Members
1 Day: £500 + VAT
2 Days: £950 + VAT
Non Members
1 Day: £650 + VAT
2 Days: £1250 + VAT
IRRBB Course Guide
Terms and Conditions
Day 1
Day 2
Fundamentals of IRRBB
- Introduction to yield curve, basis and option risk
- Introduction to Discounted Cash Flow (DCF)
- Accrual v. Fair Value accounting
- Using interest rate swaps to hedge IRRBB
- Definition of the Banking Book
Principal Measures of IRRBB
- Value approaches including EV, EVE and VaR
- Income sensitivity approaches
- Comparing value and income approaches
- Treatment of commercial margin and embedded value
- The role of the Treasury function in managing IRRBB
Behavioural Risks and Structural Hedging of IRRBB
- Pipeline risk
- Prepayment and Early Withdrawal Risk
- Non-Maturing Deposits and Margin Compression Risk
- Structural Hedging of Equity and other Non-Dated Liabilities
- Residual IRRBB risks including Credit Spread Risk (CSRBB)
IRRBB Regulatory Requirements and Governance
- IRRBB as a Pillar 2 Risk
- Basel Standards for IRRBB (2016)
- EBA Guidelines (2018)
- PRA Rules and Supervisory Expectations (2021)
- Good governance of IRRBB – including risk appetite, challenge to assumptions, the control framework and stress testing
Climate Change
An excellent course with great presenters and completely up-to-date. I would definitely recommend this to my colleagues.
Climate Change
This course was a really good overview of the climate-related risks. It was very informative, useful and relevant.
Foundations of ALM
Highly beneficial and extremely useful. From the course leader to all of the guest speakers, there is a vast amount of real-world knowledge. It makes the theory practical and relatable. I am very appreciative of all the colleagues in ALMA for sharing their knowledge.