In today's rapidly evolving financial landscape, understanding and managing Interest Rate Risk in the Banking Book (IRRBB) has become more critical than ever for banks and financial institutions. With fluctuating interest rates, regulatory changes, and increasing market volatility, IRRBB poses significant challenges that can impact a bank's profitability, capital adequacy, and overall risk profile. It's essential for banking professionals to stay ahead of these challenges, adapting to the complexities and ensuring compliance with evolving regulatory standards. This is where "The Navigating IRRBB Masterclass" comes into play, offering an in-depth exploration of IRRBB tailored to the current needs of the banking sector.
We start with foundational concepts, exploring the banking business model, the significance of Net Interest Income, and the nature of the banking book. A deep dive into risk-free rates, yield curves, and the critical issue of interest rate mismatch sets the stage for understanding the core challenges in the banking sector. The first day also covers Net Present Value and derivative hedging techniques, offering practical insights into risk management strategies.
Day two progresses into measuring and managing IRRBB, examining Economic Value Approaches and the Earnings/NII Sensitivity Approach. This session will also address the impact of behavioural assumptions on IRRBB, highlighting the management of pipeline, pre-payment, and credit spread risk.
The final day zooms in on the regulatory landscape, dissecting the 2016 Basel Standards and their implementation, along with the supervisory tests and standardised frameworks. It concludes with a discussion on regulatory compliance, capital requirements, and the emerging challenges in IRRBB management.
Comprehensive Coverage of Banking Fundamentals: Gain a deep understanding of the banking business model, focusing on the importance of Net Interest Income
In-Depth Analysis of Risk-Free Rates and Yield Curves: Learn how changes in these key financial indicators can put a bank at risk and impact its profitability
Expertise in Financial Instruments and Hedging Strategies: Explore the practical applications of Net Present Value, derivative hedging, and interest rate swaps, enhancing your ability to measure and manage it effectively
Holistic Approach to IRRBB Measurement and Management: Master both the Economic Value and Earnings/NII Sensitivity Approaches, and understand their contrasting applications in real-world scenarios
Insight into Behavioural Assumptions and Advanced Risk Management: Delve into complex aspects like pipeline and pre-payment risk, structural hedging, and credit spread risk, crucial for effective IRRBB management
Regulatory Mastery and Future Preparedness: Get up-to-date with the current Basel Standards, regulatory requirements, and supervisory tests. Equip yourself with the knowledge to navigate the regulatory landscape and anticipate future challenges in IRRBB management
Paul worked in banking for over 30 years in a career that has spanned Finance, IT and Risk Management. Most recently he was Head of Non-Traded Market Risk Oversight at Lloyds Banking Group. From 1999 to 2005 he led the Traded Risk team at the UK Financial Services Authority, and, prior to that, was Head of Trading Risk Systems for NatWest Markets.
Paul, upon graduating from Oxford University, initially trained as a teacher. During his subsequent banking career, he always maintained a keen interest in delivering training and, since leaving full time employment, now regularly delivers IRRBB training both in the UK and internationally. He is also the author of Interest Rate Risk in the Banking Book published by Risk Books firstly in 2016 with a second edition in 2021.
Firmly believing that, in risk management, there is no such thing as a “stupid” question, Paul’s preferred style is to encourage the active participation of students and thus leading them to draw their own conclusions based on shared experience and open questioning.
