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Interest rate risk in the banking book

Interest Rate Risk in the Banking Book – IRRBB

Open seminar in Czech language

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 in 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 regulatory requirements resulting from the EBA Guidelines on IRRBB and CSRBB (EBA/GL/2022/14), EU Regulation 2024/857 concerning the standardized approach, and EU Regulation 2024/856 defining requirements for the supervisory outlier test. 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 ALM, finance, risk management, compliance, and internal audit.


 

Seminar content

Part 1: IRRBB and regulatory requirements

  • Introduction to IRRBB
  • Regulatory requirements for IRRBB
  • IRRBB measurement assumptions 
  • IRRBB measurement
  • Scenarios and stress testing 
  • IRRBB management and control

Part 2: Behavioural modelling

Part 3: New regulatory documents

  • Guidelines on IRRBB/CSRBB (EBA/GL/2022/14)
  • RTS on Supervisory Outlier Test (SOT)
  • RTS on Standardised Approach
  • ITS on IRRBB reporting

Date: 

Seminar details in PDF

Lecturers

Mgr. Ing. Václav Novotný


 
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