Interest Rate Risk in the Banking Book
How to implement IRRBB into ALM & Liquidity frameworks

In 2018 new Basel standards are introduced for measuring and managing interest rate risk on the banking book (IRRBB). One of the complexities of interest rate risk on the balance sheet is the linkage between Asset Liability Management (ALM), Liquidity (LRP, NSFR), and the IRRBB. A further complication is that interest rate risk of the balance sheet can be measured either through current and future earnings (i.e. net interest income NII) or through changes in economic value added. 

In the Interest Rate Risk in the Banking Book program we develop a framework of how to integrate these synergetic areas. You will first learn the key building blocks of IRRBB, including analytical modeling. We will then review what the supervisory process of regulators will be and how to prepare for this examination. The program will also explore how the Fundamental Review of the Trading Book (FRTB) is an overlapping framework of IRRBB as both capture interest rate exposure. 

How you will benefit
  • Gain a deeper understanding of IRRBB and its linkage to overlapping frameworks
  • Learn how Net Interest Income (NII) derived from IRRBB is a core component of capital stress testing (CCAR/USA), PRA and ECB
  • Get a deeper understanding of how interest risk is linked to IFRS(9)
  • Learn how to apply behavioral assumptions and optionality models to contractual cash flows as a cornerstone of interest risk
  • Explore the design of interest rate scenarios and the dynamics of the balance sheet
  • Learn how to hedge interest rate risk
  • Learn more on governance, disclosure and comprehensive regulatory examination
  • The overall regulatory and risk architecture and how IRRBB fits in
  • The overlapping frameworks of ALM, Liquidity, and IRRBB
  • Core metrics and hedging methodologies 
  • The consistency between the methodology measuring Net interest Income (NII) and Economic Capital from different interest rate scenarios and analytics to estimate core metrics
  • Categorization of bank instrument categories into amenable instruments with no optionality (term deposits), less amenable with automatic optionality such as caps, floors, swaptions and other embedded options and finally non-amenable instruments with Behavioral Optionality (such as non-maturity deposits), core versus transitory deposits and overdraft facilities
  • Asset Liability Management and the management of Liquidity and Cash Flow management 
  • The Business Model , balance sheet capacity, legal entity & optimization of the balance sheet and link to shareholder value 
  • Case studies: the collapse of banks, including asset deterioration, loss of wholesale funding, margin calls, deposit runs and sovereign uncertainty 
  • BCBS standards including IRRBB management process, model validation, enhanced disclosure requirement sand supervisory review  
Who should attend

The Interest Rate Risk in the Banking Book program is aimed at executives - with some basic understanding of risk management and treasury - who want to better grasp IRRBB and overlapping frameworks (AML, LRP, NSFR, FRTB, CCAR, IFRS9). It is an intermediate/advanced level workshop focusing on understanding and implementing IRRBB. The progam will broaden the knowledge of risk managers, product controllers, compliance officers, treasury and finance specialists, technologists, traders, and credit officers. 

Colin Lawrence 

Dr. Colin Lawrence is a Senior Business Advisor, Board Member & Financial Risk / Regulatory Specialist, and an expert in challenging & advising on critical risk strategies for major global financial institutions to strengthen their business model.

He is currently Honorary Visiting Professor at University College London, specializing in Finance & Risk Management. Furthermore, he is a key advisory board member with organizations including PRMIA (UK), Parker Fitzgerald Consulting, Academic Advisory Board HIS Markit. Colin Lawrence holds a BA(economics) and MA(economics) from the Hebrew University in Jerusalem, and a PhD in International economics, University of Chicago. 


Dates & fees
4 - 5 June 2018 € 2,500

Program fee includes all study materials, books and software that are required for the program as well as daily luncheons.
Program fee is exempt from VAT for clients located in the Netherlands. For other EU and Non-EU clients, VAT may be due by client and will not be charged by AIF. Fees may be subject to change.


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