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Seminar application IRRBB Audit Bank Strategy Management Course Banking Regulations in a Nutshell Basel II CRD IV: Basel III Implementation in the EU CCR and CVA Securities and Derivatives Controlling in Practice Control for Financial Institutions Credit Scoring CRR 3 / CRD 6 and Other News in Banking Regulation CRR 3 / CRD 6 in Detail CVA (Credit Valuation Adjustment) Impacts of Climate Change and their Solutions Effective Reporting ESG and Green Finance ESG Risks and their Audit Finance for Non-Financial Managers Financial Derivatives Financial Mathematics Fraud Management in Today's On-line World Fundamental Review of Trading Book Guidelines on Loan Origination and Monitoring ICAAP, ILAAP, Pilar 2 and Stress Testing IFRS 9 – Impairments under the New Standard IRB in Practice Internal Rating Based (IRB) Approach Commodity Derivatives Credit Derivatives Credit Value at Risk Creation of the Qualitative Future Scenarios GHG Emissions Measurement and Carbon Footprint Calculation Environmental Risk Measurement in Financial Institutions Credit Risk Measurement Model Risk Non-Financial Reporting According to CSRD, ESRS and GAR Option Pricing Operational Risk Operational Risk in Practice Preparation for SREP alias Supervision in Practice Rating and Scoring Risk-Based Pricing Concentration risk Liquidity Risk Weather Risk Risk appetite Assets and Liabilities Management - ALM ESG Risk Management: Executive Summary Financial Risks Management Credit Risk Management Project Risk Management Enterprise Risk Management – ERM Securitization Silicon Valley Bank Solvency II: Executive Summary Stress Testing Market Risk Interest Rate Risk in the Banking Book – IRRBB Value at Risk Workout in Banking Practice (non-retail) Rise and fall of Lehman Brothers
Interest rate risk in the banking book

Interest Rate Risk in the Banking Book – IRRBB

The seminar Interest rate risk in the banking book – IRRBB is organized as an open seminar for employees from different institutions and also as an in-house seminar organized for employees of clients with tailor made requirements.

Objectives of the seminar

The seminar focuses on the issues of interest rate risk in the banking book (IRRBB) and credit spread risk of the banking book (CSRBB). It introduces participants to the measurement of IRRBB and CSRBB, their management and control, and the calculation of internally determined capital for these risks.
The seminar covers recent changes to regulatory requirements resulting from EBA/GL/2022/14, EBA/RTS/2022/09 and EBA/RTS/2022/10. We will discuss the calculation of the impact of IRRBB on economic value and net interest income under the standardised and simplified standardised approaches. The seminar also includes a section on behavioural modelling of non-maturity deposits and loans.

For whom it is intended

The seminar is intended for professionals in risk management, compliance, and internal audit.


 

Seminar content

Part 1: IRRBB and regulatory requirements

  • Regulatory requirements for IRRBB
  • IRRBB measurement assumptions 
  • Measurement of IRRBB 
  • Scenarios and stress testing 
  • IRRBB management and control

Part 2: Behavioural modelling

Part 3: Pending Regulatory Changes

  • Guidelines on IRRBB/CSRBB (EBA/GL/2022/14)
  • RTS on Supervisory Outlier Test (SOT) (EBA/RTS/2022/10)
  • RTS on Standardised Approach (EBA/RTS/2022/09)
Currently no open seminar is organized. If you are interested in this topic please contact us and we will be delighted to prepare an in-house seminar for you.

Lecturers

Mgr. Ing. Václav Novotný


 
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