Interest Rate Risk in the Banking Book (IRRBB) - Good-Practice Principles

Workshop overview:

This one-day workshop provides comprehensive coverage of business best-practice approach to IRRBB, to ensure optimum compliance with Basel Standards. It explains the process and implementation of an efficient IRRBB measurement, reporting, and hedging framework in clear and practical terms, to enable delegates to acquire an understanding of best-practice IRRBB principles, and how they can be integrated into ALM policies, thus optimising the bank’s risk management framework.

A well-designed IRRBB framework enables a bank to pursue its strategic objectives, conversely, a poorly implemented IRRBB framework can lead to long-term damage to a bank’s balance sheet structure and material additional Pillar 2a capital add-on.

The workshop provides delegates with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk. Key topic areas including approaches to measurement and reporting, stress testing, and disclosure requirements are covered in practical detail.

Learning outcomes:

Understand the value and importance of an effective IRRBB risk management framework
Be able to ensure best-practice measurement, reporting, and hedging for your bank’s IRRBB process
Understand the use, calculation, and application of the two reporting measures (NII and EVE)
Implement a best-practice IRRBB regime in your bank
Integrate IRRBB risk management into the bank’s risk appetite statement
Understand and optimise IRRBB Pillar 2a capital impact

Interested in taking any of our workshops in-house?

Whether you are seeking to upskill your team, enhance productivity or foster a culture of continuous learning, we can deliver customised training programmes designed to meet your specific needs. If you have an enquiry, you can complete the in-house form and our training team will be in touch with next steps.

IN-HOUSE TRAINING

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If you would like to attend one or more sessions or have multiple delegates interested from your organisation, please contact us for a discount.

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Area of expertise:

Prudential risk, reporting and tax

Professor Moorad Choudhry

Non-Executive Director, Newcastle Building Society

Moorad Choudhry is a non-executive director at Newcastle Building Society, and Honorary Professor at University of Kent Business School. He was l...

Moorad Choudhry is a non-executive director at Newcastle Building Society, and Honorary Professor at University of Kent Business School. He was latterly Treasurer, Corporate Banking Division at The Royal Bank of Scotland, having begun his career at the London Stock Exchange in 1989.

Moorad is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of the London Institute of Banking and Finance, a Fellow of the Global Association of Risk Professionals, a Fellow of the Institute of Directors and a Liveryman at The Worshipful Company of International Bankers. He is author of The Principles of Banking (John Wiley & Sons 2012, 2023).

Moorad was born in Bangladesh and lives in Surrey, England. He was educated at Claremont Fan Court school, the University of Westminster and the University of Reading. He obtained his MBA from Henley Business School and his PhD from Birkbeck, University of London.

Treasury senior management
Heads of ALM/ money markets
Head of IRRBB
Risk management
Liquidity management
Risk modelling
Asset-Liability management
Market risk
Treasury risk
Liquidity risk
Balance sheet risk
Stress testing
Capital management
Regulatory reporting
Internal audit