Interest Rate Risk in the Banking Book

Incisive Training
Course summary
Length: 2 days
Price: 2,199 GBP excl. VAT
Location: London
Next available date: Enquire for dates - London
Course type: Open / Scheduled

Course Description

Interest Rate Risk in the Banking Book Course in London

Interest Rate Risk in the Banking Book - 2-day course

This is a multi-tutor course format aiming to address the challenges of interest rate risks arising in the banking book and delegates will learn to identify, measure and mitigate different types of risk.

The whole of the first day will look at the intricacy of IRRBB, starting with a presentation updating delegates on the final BCBS paper and what it means. Further sessions will focus on the alternative metrics involved and comparing the different approaches one can take. There will also be consideration for the challenges and problem areas within IRRBB and emphasis on what best practice looks like.

The second day will start with a case study on Interest Rate Risk from a Tier 1 bank, looking at how it is applied in the UK and the effect on its global subsidiaries. Following on, the session presented by Standard Chartered will consider IRRBB governance challenges. The final two sessions will look at how to model IRRBB and investor relations and disclosures.


  • Update from the BCBS's Task Force for Interest Rates
  • Nature of IRRBB and typical metrics employed
  • Value and Income Metrics Compared
  • IRR Challenges
  • Interest Rate Risk in Practice: Case Study
  • Current and future topics in IRRBB Governance
  • Modelling Interest Rate Risk
  • Investor Relations and disclosures

Suitability - Who should attend?

The course is vital for professionals within the financial industry who are affected by the Basel and EBA papers on Interest Rate Risk first-hand. The course will help nurture understanding, implementation and management of sound IRRBB policies. However, Risk welcomes any individual with an interest in the course material.

Outcome / Qualification etc.


  • An insight into the current and proposed regulatory requirements from the final BCBS paper in April and the likely impact they will have
  • Consideration of some of the problem areas within IRR and the challenges they create such as behavioural and modelling assumptions
  • Assess the main IRRBB governance considerations and managerial challenges faced
  • Examine approaches to modelling IRRBB including approaches to modelling deposits and methods for calculating EVE and NII
  • Discussion of IRRBB from the investors perspective and the disclosure requirements expected to promote transparency

Training Course Content

The first day will look at the intricacy of IRRBB, the alternative metrics involved, and compare the different approaches one can take. There will also be consideration for the challenges and problem areas within IRRBB and emphasis on what best practice looks like.

The second day will include a case study on interest rate risk and sessions on IRRBB governance challenges and modelling IRRBB.


The cost of this course is £2,199 + VAT.

Your registration fee includes 12 CPD or CPE points, morning refreshments, lunch, afternoon refreshments, and your conference/seminar materials.

Provider: Incisive Training

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Reviews by course attendees

Swedbank Delegate   |   10/05/2016
Strong selection of speakers and key topics covered. Great event
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