Interest Rate Risk in Banking Book (IRRBB) Management
Target Audience
Asset-liability Management professionals, Interest Rate Risk Managers, and Treasury specialists with 3-6 years banking experience. Suitable for professionals responsible for balance sheet risk management.
Audience Level
Intermediate to Advanced
Duration
Three-day programme (15 hours)
Delivery
Online or In-class
This programme addresses the enhanced Basel III requirements for managing interest rate risk in the banking book, with particular focus on SME lending portfolios and their unique characteristics. Participants will develop practical skills in measuring, monitoring, and managing IRRBB using both economic value and earnings-based perspectives. The course emphasises the behavioural modelling challenges specific to SME deposits and loans.
The programme provides comprehensive coverage of supervisory expectations under Basel III Pillar 2, including stress testing requirements and governance frameworks. Practical exercises focus on developing robust IRRBB measurement systems appropriate for SME banks’ risk profiles and business models.
Participants will:
- Master economic value and earnings-based IRRBB measurement approaches
- Develop effective behavioural models for SME deposits and loans
- Implement comprehensive IRRBB stress testing frameworks
- Understand regulatory expectations under Basel III Pillar 2
- Integrate IRRBB management with business strategy and capital planning
- Navigate specific challenges of IRRBB management in SME-focused institutions
- IRRBB Framework and Regulation
- Basel III IRRBB principles and requirements
- Economic value vs. earnings-based approaches
- Supervisory outlier test and regulatory expectations
- MENA regulatory implementation considerations
- Measurement Methodologies
- Interest rate shock scenarios and risk measures
- Behavioural modelling for non-maturity deposits
- SME loan prepayment and default modelling
- Optionality risk assessment
- Risk Management and Governance
- IRRBB policy and limit frameworks
- Stress testing and scenario analysis
- Hedging strategies and derivative usage
- Board and senior management oversight
- Implementation Challenges
- Data requirements and system capabilities
- Integration with ALM and capital planning
- Model validation and performance monitoring
- Business strategy implications
Contact Form
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