Trainer Booking
Log in Sign up

Interest Rate Risk in the Banking Book (IRRBB)

by Gary Dunn

Languages: English

Price (from): €2,000 / day

Share Share

About the trainer:

Gary now works as a consultant and trainer in bank risk and regulatory capital modeling but has an extensive track record as a practitioner having worked in the market, credit, operational and liquidity risk management. Gary has considerable experience with central counterparties, having sat on a number of CCP risk committees and carried out stress testing reviews. Over the years, Gary has worked both on the regulatory side (Bank of England, FSA and on Basel working groups) and for industry (HSBC, Morgan Stanley) toward shaping the new regulatory landscape.


Please login to send a message

Interest Rate Risk in the Banking Book (IRRBB) by Gary Dunn

About the training

#Theoretical and practical understanding   #Transfer pricing   #Interest Rate Risk   #Banking Book

A comprehensive overview of the BCBS IRRBB standards published in April 2016, comparison with EBA standards and a refresher of the mathematical tools required. Interest rate risk in the banking book (IRRBB) is part of the Basel capital framework under Pillar 2 and principles for the management and supervision of interest rate risk were set out in 2004 by the BCBS. Following consultation during 2015, BCBS published revised principles (D368) in April 2016, to reflect changes in the market and supervisory practices. This course provides a comprehensive overview of the current regulations in place including BCBS documents, supervisory statements, and legislative revisions primarily for Europe. These requirements will be compared with industry practice and also other regulatory initiatives, e.g. FRTB. Since stress testing has become an important tool for risk management and a key part of the regulatory framework the course also spends time discussing the application of stress testing techniques. A particular area of focus will be on approaches to assigning probabilities to stress scenarios in order to deliver a coherent stress-testing framework. Participants will engage in Spreadsheet-based exercises and also role-playing exercises where time constraints and class sizes permit. Role-playing exercises will be used to practice engagement with a regulator, defending assumptions and responding to likely regulatory challenge. • To provide a comprehensive overview of the new standards presented in BCBS papers, look at the implementation in Europe, particularly in connection with CRD, CRR and EBA guidelines and technical standards. • Refresh and develop quantitative techniques: o Cash flow discounting, zero curve construction, yield curve models o Computation of risk metrics, particularly: EVE, NII. o A look at some modeling techniques: stochastic simulation, pricing options, modeling behavioral options, non-performing loans, basis risk, credit spreads, capital and liquidity buffer calibration, stress testing. o Assigning probabilities to stress scenarios in order to compute an economic capital number • Review and discuss risk management techniques and regulatory initiatives, for example, hedging, funds transfer pricing, risk-free interest rate benchmarks (replacements for the IBORs), Liquidity Risk Management, FRTB and interactions between the banking book and the trading book. Those with less quantitative backgrounds should not be discouraged by the mathematical content. Spreadsheet examples will be provided with all data and formulae that will allow all participants to engage in ‘what-if’ scenarios to gain a feel for how different assumptions can affect the results in regulatory reports and the likely challenges. Participants will be invited to work in groups to prepare a report based on their own assumptions and a role-playing session will be used to give participants an experience of a meeting with regulators to review their submissions.

Learning outcomes

The revised standards

An understanding of the revised standards

IRRBB methodology

Gain a theoretical and practical understanding of IRRBB methodology

IRRBB and other regulatory initiatives

Understand links between IRRBB and other regulatory initiatives such as FRTB and liquidity risk management

Risk transfer

Understand risk transfer, fund transfer pricing

Proposed model

Gain experience of facing a regulatory challenge on the proposed model


  • Introduction

  • Refresher 1

  • Draft Revised CRD and CRR

  • BCBS D368

  • Refresher 2

  • BCBS D368 - The standardised Framework

  • Calculation of the standardised EVE risk measure and NII

  • Managing Interest Rate Risk

  • Modelling interest rates

  • Funds Transfer Pricing

  • Risk Free Reference Rates Benchmarks

  • Stress Testing

  • Related Topics

Main benefits

  • #Wide collection of the biggest experts
  • #Filters for all kinds of needs
  • #User friendly platform
  • #Fast and cheap
  • #Highest level of proficiency