Interest Rate Risk in the Banking Book (IRRBB)

classroom training

Course Overview

IRRBB and the best approach for computing regulatory capital to support it has been the subject of intensedebate since 2014 and in April 2016 the Basel Committee finally published its new Standards on IRRBB.Regardless of the impact on capital levels of these new standards, what is without doubt is that IRRBB hasmoved up the regulatory agenda and that banks may now expect far more scrutiny and challenge than has previously been the case and will consequentially need – as a minimum – to be able to demonstrate both understanding of the risk and to be able to articulate how they control it. IRRBB has Prominently factor in recent banking sector events, Such as failure of Silicon Valley Bank.

This Live Virtual Training Program addresses the topic of IRRBB from first principles assuming little or no prior knowledge. It is suitable, therefore, for both the risk specialist and for anyone wishing to gain a more general overview of the subject as well as catering to participants requiring more detailed and technical IRRBB implementation. Emerging use of artificial intelligence (AI) frameworks incorporating machine learning (ML) modelling techniques for IRRBB measurement and management will be reviewed and discussed. Some banks in the UAE are among early starters in this area

CISSP Requirements? Candidates are required to have a minimum of five years full-time experience in at least two of the eight domains. They must also complete the CISSP examination agreement, subscribe to the (ISC)2 code of ethics, answer several background qualification questions and receive an endorsement from an active (ISC)2 certified professional.

Who Should Enroll ?

  • Banking Book Risk
  • Liquidity Risk
  • Banking Investment Book
  • Basel 3 – 4
  • Capital Management
  • Change Management
  • ALM Governance
  • Interest Rate Risk & Profit Rate Risk for Islamic banks
  • Internal Audit
  • IRRBB Policy
  • Capital Management (ICLAAP
  • Liquidity Risk
  • Market Risk Management
  • Treasury risk
  • Risk Management
  • Risk Analytics

Key Takeaways :

  • Value and Income Metrics Compared
  • Problem Areas
  • Regulatory Requirements: Current & Proposed
  • Current and future topics in IRRBB Governance. Developing Shock and Stress Scenarios
  • Modelling Interest Rate Risk
  • Deposit Modeling& FTP’s IRRBB pricing & cost allocation role – developments in AI / ML

Benefits of Attending the Program

  • Improved IT security skills
  • Better job opportunities
  • Enhanced productivity
  • A wider view of the security industry
  • Encouragement to stay on top of trends
  • Ability to better manage IT security processes
  • Credibility as a security expert within the company and with clients

Trainer Profile

Consultant has 44 years continuous as a bank financial products, risk management and ALM banking professional and a banking consultant and trainer. He now works with banks extensively in the GCC and in Asia where he is based, including ongoing projects with conventional and Islamic banks. His areas of banking Alm and risk management expertise include IRRBB FTP, liquidity, capital and balance sheet management and bank treasury activities.

Recently he has worked on ALM training and implementation projects for a multi-lateral Islamic development bank in Saud Arabia, and for banks in the UAE, Vietnam, Singapore, and Kuwait including projects performed under contract for the IFC / World Bank, European Investment Bank and the Asian Development Bank. He has provided in-house and public training courses for banks in Europe, the MENA, GCC, East Africa and Asian regions on a frequent basis, specializing in bank ALM under Basel 3 including IRRBB, funds transfer pricing and balance sheet optimization.

Most of his career was at ABN AMRO Bank where he headed a number of global business lines including, FX,& Intrest rate derivatives, and structured products trading and sales, counterparty credit risk management, ALM and Basel 3 client advisory and implementation project design and management and internal risk management implementation work for ABN AMRO and its Clients. Before leaving the Bank in 2011 and relocating from Europe to Asia, he was a Principal in ABN AMRO’s financial institution treasury and risk advisory business. He is now a partner with a Netherlands based bank training and consulting firm, and resides in Indonesia.

The trainer has GARP FRM certification, hold BA and MBA degrees from University of Chicago, served from 1994 – 2008 on the ISDA Board of Directors and has contributed to professional publications such as the Prime Risk Management Handbook.

Event Details
Contact Us

    Call Now Button