Smart About Risk  

IRRBB Audit

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.