Interest Rate Risk in the Banking Book (IRRBB) – 2 Day

Interest Rate Risk in the Banking Book (IRRBB) is a key priority under Basel III Final (Basel IV) and the new CRR III/CRD VI rules. UK and EU regulators, including the PRA and the ECB/SSM, now expect stronger controls over EVE, EaR, repricing risk, and changes in the yield curve. They also want better behavioural modelling for non-maturity deposits and products with optional features. This workshop gives senior risk and treasury teams a clear and practical view of these expectations. It explains core IRRBB measures, modelling needs, stress tests, scenarios, risk limits, and simple ways to design or improve hedging plans.

The program also covers balance sheet optimisation, ALM, funds transfer pricing (FTP), and how IRRBB links to ICAAP and wider capital planning. Real case studies from UK, EU, and global banks support each topic. Participants learn how to improve model assumptions, strengthen governance, and respond to the latest findings from supervisors. The workshop is designed for CRO teams, ALCO members, treasury heads, and senior bankers. It provides practical tools to manage interest-rate risk, make better decisions, and build a more stable and forward-looking balance sheet in fast-changing market conditions.