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Interest Rate Risk in the Banking Book
This course covers the main techniques used to measure interest rate risk in the banking book and how (and why) these differ from those used to measure similar risks in a trading book. The programme will be made up of four discrete modules, each lasting half a day, delivered online via Zoom in small classes.
Paul Newson, industry expert, with over twenty years experience as an IRRBB practitioner and author of “Risk Books: Interest Rate Risk in the Banking Book“, will be lead tutor for all of these training modules.
For details of the four modules and prices please refer to the IRRBB Course Guide.
14th – 17th June 2022
Each Module costs:
£250 + VAT (ALMA Members),
£325 + VAT (Non-Members)
All 4 Modules cost:
£950 + VAT (ALMA Members),
£1,250 + VAT (Non-Members)
IRRBB Course Guide
Terms and Conditions
Module 1 – 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
Module 2 – 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
Module 3 – 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)
Module 4 – 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.