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 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.

16th – 19th March 2021, 9am – 12.30pm each day

NOW ONLINE

Each Module costs:
£250 + VAT (ALMA Members),
£325 + VAT (Non-Members)

All 4 Modules cost:
£950 + VAT (ALMA Members),
£1,250 + VAT (Non-Members)

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)
  • Likely PRA requirements
  • Good governance of IRRBB – including risk appetite, challenge of assumptions, the

    control framework and stress testing

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Member Prices

1 Module: £250 + VAT
2 Modules: £500 + VAT
3 Modules: £750 + VAT
All 4 Modules: £950 + VAT

Non-member Prices

1 Module: £325 + VAT
2 Modules: £650 + VAT
3 Modules: £975 + VAT
All 4 Modules: £1,250 + VAT
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