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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)

Date: 

Seminar details in PDF

Lecturers

Mgr. Ing. Václav Novotný


 
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