Interest rate risk modelling and IRRBB
View AgendaKey reasons to attend
- Learn about dynamic balance sheet challenges
- Understand the goals for interest rate risk in the banking book (IRRBB) management
- Identify relevant hedging strategies for mitigating risks
Customised solutions
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Working with the portfolio of expert tutors and Risk.net’s editorial team, we can develop and deliver a customised learning to make the most impact for your team, from initial assessment to final review.
About the course
This learning event will explore diverse approaches to interest rate and behavioural modelling. Participants will gain insights into the appropriate implementation of IRRBB frameworks by learning about managing the balance sheet and strategies.
Key sessions will explore the goals for IRRBB management where participants will learn how to optimise the balance sheet, how to approach and consider impacts of high rates to inflation. Participants will enhance their knowledge on interest rate risk by evaluating diverse aspects and complexities of IRRBB modelling.
Participants will have the opportunity to connect with diverse tutors, as well as their peers through active learning and Q&A sessions.rticipants to engage in peer-to-peer discussion, providing maximum engagement with in-depth learning, case studies and a live Q&A.
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Pricing options*:
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Learning objectives
- Measure IRRBB by implementing diverse models
- Assess IRRBB by understanding the governance frameworks
- Understand the interest rate risk regulatory environment and IRRBB governance
- Investigate the impact and challenges of rate changes
- Develop insight into model complexities and hedging strategies
- Implement the impact of AI on interest rate risk
Who should attend
Relevant departments may include but are not limited to:
- Liquidity risk management
- Risk management
- Stress-testing
- Asset-liability management
- Treasury
- Funds transfer pricing
- Balance sheet management
- Compliance
- Interest rate modelling
- Governance
Agenda
March 18–20, 2025
Live online. Timezones: Emea/Americas
Sessions:
- Interest rate risk measurement
- Funds transfer pricing (FTP) and strategic role in ALM analyses
- Credit spread risk in the banking book (CSRBB)
- Non-maturity deposits (NMDs) models for IRRBB
- Early termination, pipeline risk and equity models for IRRBB
- Business case
- Climate-related financial risks
- Integrated balance sheet management framework
- Overview of ALM future landscape
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- New trends in interest rate and liquidity risk management
- Pimco adds $103bn in fresh receive-fix interest rate swaps
- US banks ditch IR futures as appetite for swaps booms
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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