Interest rate risk modelling and IRRBB

  • Treasury and capital markets risk
View Agenda

Key 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

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Customised solutions

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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.


Pricing options:

  • Early-bird rate: save up to $800 per person by booking in advance (refer to the booking section for the deadline)
  • 3-for-2 rate: save over $2,000 by booking a group of three attendees (applicable to this course)
  • Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber* (use code SUB30)
  • Season tickets: save over $1,000 per person by booking 10 or more tickets (available on selection of courses)

*The 30% subscriber reward discount is applicable only to current Risk.net subscribers. If this criteria is not met, we reserve the right to cancel the booking and issue an invoice for the correct rate. Discounts cannot be applied to already registered participants.

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 25–27, 2024

Live online. Timezones: Emea/Americas

Sessions:

  • IRRBB: setting limits and managing the balance sheet
  • Interest rate risk regulatory environments and IRRBB governance
  • Impact of high rates and interest rate risk challenges
  • Various model complexities and hedging strategies
  • The impact of artificial intelligence (AI) on interest rate risk (part one: technical implications)
  • The impact of AI on interest rate risk (part two: business implications)

Tutors:

  • Thomas Ribarits, director, European Investment Bank
  • Juan Gonzalez Herrera, vice president model risk management, State Street
  • Jesús Calderón, managing director, Maclear Data Solutions
  • Karl Rubach, managing director, Integrated Balance Sheet Management Solutions

View detailed agenda

Accreditation

This course is CPD (Continued Professional Development) accredited. One credit is awarded for every hour of learning at the event.

Pre-reading materials

The Risk.net resources below have been selected to enhance your learning experience:

A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.

Registration

March 25–27, 2024

Online, Emea/Americas

Price

$2,999
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Enquire about:

  • Agenda and registration process
  • Group booking rates
  • Customisation of this programme
  • Season tickets options

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