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.
The seminar is intended for professionals in risk management, compliance, and internal audit.