Interest Rate Risk in the Banking Book (IRRBB)

Overview

This training course has been created in order to enable executives from banks worldwide to experience the benefits of a live course from their office or home. The course delivered over four weekly sessions will prepare financial institutions for the new regulatory landscape in relation with IRRBB and to enhance profitability through the application of the active management techniques of this important risk category which has gained its importance over recent years. A proper IRRBB framework creates an opportunity for income generation both under near -term and longer – term horizons. Mismanagement can be very expensive and have implications across different areas of a bank. The first challenge in management of IRRBB consists in defining the strategy and steering approach which is consistent with a bank’s business model. The course will support in answering so important questions such as which steering approach should be used in order to manage IRRBB on a regular basis? Additionally, it will shed light on Credit Spread Risk in the Banking Book and the metrics which should be used to measure it. By the end of the session participants will be provided with the simplified model of the calculation of NIIS and EVE volatility compliant with the BCBS requirements.