Interest rate risk modelling and IRRBB

  • Treasury and capital markets risk
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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

Does your team require a tailored learning solution on this or any other topic?

Working with the portfolio of expert tutors and’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. 

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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*
  • 3-for-2 rate: save over $2,000 by booking a group of three attendees*
  • Subscriber reward: save 30% off the standard rate if you are a subscriber*   
  • Season tickets: save up to 60% - request price breakdown

*T&Cs apply

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


July 8–10, 2024

Live online. Timezones: Emea/Apac


  • 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


  • Giovanni Campo, Head of asset-liability management and liquidity risk competence line international markets, Prometeia

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Giovanni Campo Risk Learning Faculty

Head of asset-liability management and liquidity risk competence line international markets


View bio

Giovanni is associate partner and head of asset liability management (ALM) and liquidity risk competence line for international markets at Prometeia. 
Subject matter expert in balance sheet management and treasury risks, he has developed a deep experience in interest rate risk of the banking book and credit spread risk of the banking book, behavioural models, fund transfer pricing and hedge accounting. 
Currently leading commercial initiatives and delivery projects of ALM and balance sheet risks solutions of the International Risk Practice.
Recent assignments include major banking groups in Germany, Luxembourg, Austria, Greece, Cyprus, Romania, Moldova and Turkey. 


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

Pre-reading materials

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

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

Enquire about:

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

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