This two days course addresses the challenges imposed by the new IRRBB, BCBS recommendations on implementing IRRBB (to be in effect by January 2018) but also draws on international best practices on applying risk measures dedicated to banking and investment books management. Aside from the direct application for treasury and ALM professionals, the course dovetails with the traditional courses on interest rate risk management (typically dedicated to trading books risk management) and portfolio risk management. The course draws on the two main risk measure classes used in IRRBB (change of net interest income and change in economic value of equity) as it links to capital management practices and capital allocation regulatory demands (Basel III).

The Basel Committee of Banking Supervision (“BCBS“) has published in April 2016 the final Standards for banks´managing interest rate risks in banking books. These standards are part of the Capital Framework´s Pillar 2 (Supervisory Review Process) and lays out the regulatory standards for banks´ identification, measuring, monitoring and controlling of IRRBB as well as standards for supervisors and auditors. Banks under Basel III are expected to be fully compliant with these standards by 2018.

This two day training seminar will be exploring the changes in regulation by identifying all „12 principles“ and examining the impacts on internal banking book risk management and reporting practices. Special attention will be dedicated to the construction of the stress scenarios to be considered and the key construction of compliant behavioral models under shock and stress regimes. Above and beyond, the course will address the link to capital management practices while examining the dual approach of risk measurement (change in economic value of equity and change in net interest income).

Who should attend

• Banking Book Risk Managers
• Managers of Banking Investment Books
• Corporate Treasurers
• Asset Liability Managers
• Management Accountants
• Financial Accountants
• Internal Auditors
• Central Bank Managers of Investment Books