Smart About Risk  


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


The seminar IRRBB Audit is organized as an in-house seminar organized for employees of clients with tailor made requirements. 

Objectives of the seminar

The first part of the seminar explains the issue of interest rate risk of the banking book (IRRBB), and thus provides participants with the necessary information base for the IRRBB audit. In the next section, we will discuss the areas on which the IRRBB audit should focus, with an emphasis on the management, control and measurement of the IRRBB, the creation and use of scenarios and stress tests, and the calculation of internally determined capital. The conclusion is devoted to a discussion and questions.

For whom it is intended

The seminar is dedicated to managers and internal audit specialists responsible for the IRRBB audit.


Seminar content

1. Introduction to IRRBB:

  • Definition of IRRBB
  • Overview of regulatory documents
  • Regulatory requirements for IRRBB
  • Proportionality
  • Interest rate shocks
  • Behavioral characteristics
  • IRRBB indicators
  • IRRBB management

2. IRRBB audit:

  • IRRBB management and control
  • IRRBB measurement
  • Scenarios and stress testing
  • Identification, calculation and allocation of capital

If you are interested in this topic please contact us and we will be delighted to prepare an in-house seminar for you.