Online: Interest Rate Risk in the Banking Book

Regulatory compliance implementation and best-practice principles (1-day virtual live-and-interactive workshop)

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Next available date: 2 February

Compliance with the Basel Committee’s standards on interest rate risk in the banking book (BCBS 368) and EBA Final Report (July 2018) on Interest Rate Risk in the Banking Book (IRRBB) presents significant challenges to all banks with respect to measurement, calculation, reporting and hedging of interest rate risk, as well as potential implications for Pillar 2a capital requirement, and this whole area is the subject of current focus from the regulatory authorities. Banks need to ensure they are able to address all the requirements of the regulators whilst ensuring regulatory capital optimisation. 

This one-day workshop provides comprehensive coverage of business best-practice approach to IRRBB regulatory compliance implementation, to ensure optimum compliance with Basel III and EBA 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 their bank’s ALM policies. 

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, the Basel prescribed stress tests and disclosure requirements are covered in practical detail. 

How you will benefit

    • Understand the value and importance of an effective IRRBB mechanism 
    • Be able to ensure best-practice measurement, reporting and hedging for your bank’s IRRBB process framework
    • Understand the use, calculation and application of the two reporting measures (NII and EVE), and how to apply the prescribed regulatory stress tests
    • Implement a best-practice IRRBB regime in your bank
    • Operate your bank’s IRRBB process efficiently and effectively

Program length
1 day

Morning 09:30 – 13:00
Afternoon 14:00 – 17:30
  • Overview
    • Significance of interest rate risk for banks
    • Definition of interest rate risk and its various forms
    • Regulatory landscape
      • Basel standards
      • EBA guidelines
      • PRA Pillar 2 guidance
    • IRRBB link to capital
  • Reporting metrics: NII and EVE
    • Understanding and applying the value approach
    • Understanding and applying the income approach
    • Methods for calculating EVE and NII sensitivity
    • EVE vs MVE
  • IRR challenges and how to overcome them
    • Assessing different types of risk – yield curve, basis, option, residual
    • Modelling assumptions
    • Behaviouralisation approach
    • Approaches to modelling deposits
    • Non-dated liabilities and their hedging
    • Pipeline and pre-hedge risk
    • The treatment of capital
  • Data requirements
    • Balancing model sophistication and the cost of implementation 
    • Data quality
  • Stress testing
    • Selection process of shock and stress scenarios
    • Reverse stress tests
    • Addressing key challenges of running stress testing exercises
    • Scenario approach
  • Managing/mitigating  IRRBB
    • Cash versus derivative hedges
    • Management actions
  • Implementing your IRRBB measurement solution 
    • The Basel Committee Standard on Interest Rate Risk in the Banking Book
      • The Standardised IRR Framework
      • IRR Principles
      • Internal governance
      • Enhanced disclosure requirements
    • Assessing the operational impact of IRRBB
    • What does best practice look like?
      • Strategic ALM

The workshop is aimed at experienced or middle-ranking Treasury, Risk, Finance and Business Line practitioners, and covers the complete spectrum of IRRBB from regulatory compliance, measurement, and behavioural modelling to stress testing and hedging. Delegates take part in interactive Group Exercises that aim to demonstrate the IRRBB framework in a practical, observable context. Concepts are illustrated with real-world case studies of IRRBB requirements implementation at commercial banks. 

The program is relevant for Senior Management in Treasury, Heads of ALM/ Money Markets, professionals in Risk Management, Liquidity Management, Risk Modelling, Asset-Liability Management, Market Risk, Treasury Risk, Liquidity Risk, Balance Sheet Risk, Stress Testing, Capital Management, and Regulatory Reporting.


Moorad Choudhry

Professor Moorad Choudhry is an Independent Non-Executive Director on the Board of Recognise Financial Services Limited. He has over 30 years’ experience in the City of London and was latterly Treasurer, Corporate Banking Division at The Royal Bank of Scotland.   Moorad Choudhry is the former Chief Executive Officer of Habib Bank AG Zurich in London,…

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  • 1 days
  • € 895
  • Banking & International Financial Markets, Risk Management
  • English
  • NEW

Available dates

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