Interest rate risk modelling and IRRBB
View AgendaKey reasons to attend
- Learn about dynamic balance sheet challenges
- Discover asset-liability management (ALM) framework core components
- Identify relevant hedging strategies for mitigating risks
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About the course
Join us in this virtual learning event to enhance your knowledge on interest rate risk measurement, management and modelling. Participants will navigate diverse and essential aspects such as the implications of interest rate risk modelling with FTP, ALM and climate-related financial risks.
Key sessions will provide participants with best practices to effectively assess IRRBB by studying metrics such as economic value and economic value-at-risk. Participants will deep dive into the technicalities of an integrated balance sheet management framework by learning how to optimise the balance sheet cycle.
Alongside the expert tutor and peers, participants will connect the insights with practical experiences via active discussions in the Q&A sessions and by examining relevant case studies.
What participants say:
“The course was clearly structured and easy to follow, with relevant examples that brought IRR and IRRBB concepts to life.”
“Excellent material and well-paced sessions. The examples shared helped connect theory to real banking scenarios, and I appreciated being able to revisit the materials after the course.”
“A very well-delivered course. The speaker made complex IRRBB concepts understandable and encouraged engagement throughout.”
“Thorough and insightful. This course gave me a strong foundation in IRRBB and practical tools I can use immediately. The trainer’s openness to questions made a big difference.”
“The instructor was extremely knowledgeable on the topic. The study cases and excels were very interesting and helped to see the theoretical put into practice. I especially enjoyed the topic regarding Climate Risk and NMDs model.”
Pricing options*:
- Early-bird rate: save up to $800 per person by booking in advance
- 3-for-2 rate: save over $3,000 by booking a group of three attendees
- Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber
- Season tickets: cost-effective option for groups of 10 or more. Learn more
*T&Cs apply
Learning objectives
- Measure interest rate risk in the banking book (IRRBB) with key metrics
- Evaluate the interest rate risk regulatory environment and expectations
- Navigate model estimation and model application of non-maturity deposits
- Assess credit spread risk in the banking book and map material risks
- Create funds transfer pricing (FTP) curves and apply to diverse products
- Address pipeline risk and margin drawdown models for IRRBB
Who should attend
Relevant departments may include but are not limited to:
- Liquidity risk management
- Risk management
- ALM
- Treasury
- FTP
- Balance sheet management
- Compliance
- Interest rate modelling
- Governance
- IRRBB
- Credit spread risk in the banking book
Agenda
February 17–19, 2026
Live online. Timezones: Emea / Americas
July 28–30, 2026
Live online. Timezones: Emea / Americas
Tutors
Giovanni Campo Risk Learning Faculty
Head of asset-liability management and liquidity risk competence line international markets
Prometeia
Giovanni is associate partner and head of asset liability management (ALM) and liquidity risk competence line for international markets at Prometeia.
He has over ten years of experience in advisory and implementation of ALM and treasury risk methodologies, supporting banks in aligning processes with their level of sophistication, regulatory requirements, and market environment. He also has a proven track record in leading business development initiatives and successfully delivering projects across multiple countries, driving and coaching teams of functional and technical consultants.
With a strategic perspective on ALM risks, Giovanni brings strong expertise in ALM, helping financial institutions strengthen their risk frameworks and decision-making processes.
He also has experience working with Central Banks.
Pre-reading materials
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