Interest Rate Risk in the Banking Book (IRRBB)
After years of near-zero interest rates, the recent return of material inflation combined with significant rate hikes has once again put interest rate risk back into the spotlight - with respect to its effect on both valuations and future interest income.
At the same time the EBA and CSSF are continuing to increase their attention to interest rate risk and credit spread risk in the banking book, while interest rate risk in the trading book is materially impacted by the transition to Basel IV.
Duration: 1h30
Language: Available in English
Number of participants: up to 15
Available as intra-company course (i.e. dedicated session on demand)
Course content can be customised on demand under specific conditions.
Objectives
By the end of this training, participants will be able to:
- understand the regulatory background of interest rate risk and spread risk in the banking book (IRRBB / CSRBB) and in the trading book (FRTB / Basel IV);
- understand regulatory expectations and best practices related to interest rate risk measurement and management.
Content
- Overview of interest rate risk (sources of interest rate risk, types of interest rate risk)
- Relevant regulation on interest rate risk (IRRBB, CSRBB, FRTB / Basel IV)
- Measuring interest rate risk in line with regulatory requirements
- Case studies
Target audience
Risk professionals and executives
Our lead experts
This training is coordinated by Jean-Philippe Maes, Partner at PwC Luxembourg.
Jean-Philippe Maes is a partner with over 15 years of expertise in Basel III, regulatory reporting, risk management, and internal governance, including Basel IV preparation. He has supported banks, investment firms, and management companies in implementing regulatory frameworks and managing risks from operational to internal models, including COREP/FINREP reporting. Recently, his focus has been on risk appetite frameworks and non-financial risks such as climate, conduct, and reputational risks. Jean-Philippe has led significant projects like designing recovery plans, conducting governance reviews, and training over 600 bankers. He is also a frequent speaker and represents PwC at Luxembourg’s Banks and Bankers’ Association Banking Supervision Committee.
