Interest rate risk modelling and IRRBB
About the course
As interest rate volatility and balance sheet pressures continue, it is imperative for institutions to understand how these factors are reshaping the financial sector and integrate effective interest rate risk management and modelling. This course equips participants with the tools to effectively navigate asset liability management (ALM), funds transfer pricing (FTP) and climate-related financial risks and their role in shaping balance sheet strategy, profitability and resilience.
Sessions will examine how banks how banks identify, assess and manage interest rate risk in the banking book (IRRBB) and credit spread risk in the banking book (CSRBB), focusing on industry best practices for measuring and monitoring risk using metrics such as economic value, economic value-at risk and net interest income.
Participants will gain insight into behavioural modelling for non-maturing deposits, prepayment and pipeline risk, as well as the design of integrated balance sheet management frameworks to optimise risk and performance across changing rates environments.
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.”
Learning objectives
- Measure and assess interest rate risk in the banking book (IRRBB) with key metrics
- Evaluate the role of funds transfer pricing (FTP) and product pricing
- Navigate the interest rate risk regulatory environment and expectations
- Analyse balance sheet assumptions under different rate risk environments and stress scenarios
- Assess the impact of climate-related financial risks
- Integrate techniques for balance sheet optimisation to support decision-making
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
Tutors
This course is CPD (Continued Professional Development) accredited. One credit is awarded for every hour of learning at the event.
Registration
July 28–30, 2026
Online
08:30 BST
$2499
Enquire about:
- Agenda and registration process
- Group booking rates
- Customisation of this programme
- Season tickets options
Accreditation
This course is CPD (Continued Professional Development) accredited. One credit is awarded for every hour of learning at the event.
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