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

Take this training in house:

This workshop is also available as an in-house programme, which means you can tailor it to exactly what you and your colleagues require. Pricing for in-house will depend on what is required. Enquire about this option by contacting our training team.

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.

Moorad Choudhry

Moorad Choudhry

Professor Moorad Choudhry is an Independent Non-Executive Director on the Board of Recognise Bank. He has over 35 years experience in banking in the C...

Professor Moorad Choudhry is an Independent Non-Executive Director on the Board of Recognise Bank. He has over 35 years experience in banking in the City of London and was latterly Treasurer, Corporate Banking Division at The Royal Bank of Scotland. He has served as Chair of the ALCO at four different banking institutions, and is author of The Principles of Banking (John Wiley & Sons Ltd 2012, 2023).

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  • Treasury senior management 
  • Heads of ALM/ Money Markets 
  • Risk management 
  • Liquidity management  
  • Risk modelling 
  • Asset-Liability management 
  • Market risk 
  • Treasury risk
  • Liquidity risk 
  • Balance sheet risk 
  • Stress testing 
  • Capital management 
  • Regulatory reporting