Interest rate risk modelling & IRRBB

  • Treasury and capital markets risk, Quant and model risk, Regulation, governance and compliance
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

Find out more

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. 

Find out more

About the course

The course will explore diverse approaches to interest rate and behavioural modelling. Participants will gain insights into the appropriate implementation of IRRBB frameworks by learning about multi-curve dynamic models and stochastic models. 

Key sessions will explore the effect of high interest rates where participants will explore its implications, how to approach the impact and its relation 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.

Only until December 31, 2023:

  • Locked rate: $1,999.
    Book by December 31, 2023 and save $1000 (quote LOCK23 code)

Learning objectives

  • Evaluate IRRBB governance frameworks

  • Align IRRBB frameworks with the balance sheet 

  • Address the current regulatory requirements 

  • Measure IRRBB by implementing diverse models 

  • Investigate the impact and challenges of rate changes

  • Assess IRRBB by understanding the governance frameworks 

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


March 25–27, 2024

Live online. Timezones: Emea/Americas


  • 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)s

View detailed agenda


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.


March 25–27, 2024

Online, Emea/Americas



Early-bird Price

Ends February 23
Book now

Enquire about:

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

Contact us

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here