Integrated ALM, IRRBB, ICAAP & Climate Risk Frameworks Masterclass
ALM, IRRBB, ICAAP/ILAAP and climate risk connected into one balance-sheet framework — EaR/EVE modelling, unified stress testing and ALCO-grade management information.
Format
Classroom · Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
Most banks run ALM, IRRBB, ICAAP and climate risk as four parallel exercises with four sets of assumptions — and the balance sheet pays for the disconnect. This executive-level programme connects them into one governance and analytical framework aligned with evolving Basel III/III+ requirements, ISSB climate disclosure standards and supervisory expectations across emerging and advanced markets. Participants work through advanced modelling approaches, behavioural liquidity calibration, capital and funding stress testing, and forward-looking management information for ALCO, Risk and Finance. Case studies from multiple jurisdictions show how leading institutions embed climate-linked stress testing and IRRBB-to-capital translation into their ICAAP and disclosure cycles. The cohort leaves able to design, evaluate and implement the integrated framework.
What you will do
Who attends
- Heads of ALM, treasury and balance-sheet management
- ALCO members and senior risk leaders
- ICAAP, ILAAP and IRRBB leads
- Finance, capital planning and regulatory reporting teams
- Board and executive committee members steering balance-sheet strategy
Programme agenda
Built for the decisions no textbook prepares you for
I.One framework, four disciplines
- ALM, IRRBB, ICAAP and climate risk interlinkages
- Basel III/III+ and ISSB disclosure context
- Governance across ALCO, Risk and Finance
- Risk-appetite indicators and integrated dashboards
II.IRRBB measurement and capital translation
- Earnings-at-Risk (EaR) sensitivity modelling
- Economic Value of Equity (EVE) under rate shocks
- IRRBB-to-capital translation in the ICAAP
III.Liquidity and behavioural modelling
- Behavioural liquidity calibration
- Funding concentration analysis
- Stress LCR/NSFR optimisation
- Contingency funding planning
IV.Climate risk and disclosure
- Climate scenario construction and impact quantification
- Physical and transition risk in credit, liquidity and capital metrics
- Unified stress testing on common macro assumptions
- Disclosure strategies aligned with ISSB, BCBS and IMF recommendations
Frequently asked
What makes this masterclass different from a standalone ALM or IRRBB course?
Most banks run ALM, IRRBB, ICAAP and climate risk as four parallel exercises with four sets of assumptions. This programme connects them into one governance and analytical framework — unified stress testing on common macroeconomic assumptions, IRRBB-to-capital translation in the ICAAP, and behavioural liquidity calibration feeding stressed LCR/NSFR optimisation.
Who should attend the integrated frameworks masterclass?
Heads of ALM, treasury and balance-sheet management, ALCO members and senior risk leaders, ICAAP, ILAAP and IRRBB leads, finance, capital planning and regulatory reporting teams, and board and executive committee members steering balance-sheet strategy. The programme is pitched at executive level.
How is climate risk treated in the programme?
As a balance-sheet discipline rather than a disclosure add-on. The cohort constructs climate scenarios, quantifies physical and transition risk impacts on credit, liquidity and capital metrics, and studies how leading institutions embed climate-linked stress testing into their ICAAP and disclosure cycles, aligned with ISSB standards and evolving Basel III/III+ requirements.
Is the masterclass available in-house and in French?
Yes. BIZENIUS delivers the programme in English and French, and an in-house edition can be tailored to your balance sheet, jurisdiction and supervisory expectations. Sessions run on a rolling calendar with dates confirmed on request; fees and quotations are provided on enquiry.
Who teaches this
Practitioners, not presenters.
Led by practitioners who hold, or have held, the seats this programme prepares you for: group treasurers and heads of asset–liability management, chief risk officers, heads of credit and capital management, and former central-bank supervisors who examined the very frameworks they now teach. Between cohorts the same people advise banks on those frameworks, so what you learn is what is being defended in front of boards and regulators today.
What the bench brings
- ALCO practice and treasury policy
- Funds transfer pricing design and restructuring
- IRRBB measurement: EVE and NII sensitivity
- Liquidity risk: LCR, NSFR and contingency funding
- Basel capital frameworks from Pillar 1 to Pillar 3
- ICAAP and ILAAP construction and supervisory review
Where they have practised
Current and former practitioners — people who hold the seat today alongside those who have held it.
Sectors: Banking & financial services · Insurance · Technology & fintech · Professional services
Regions: Africa · the Middle East · Europe · Asia · the Americas
How they teach
- Live case studies from real institutions
- Modelling labs and balance-sheet simulations
- Regulator-style challenge sessions
- Group problem-solving on realistic institutional cases
- Knowledge checks and a personal action plan
Cohorts are kept small so every exercise is worked on the participants’ own situations — in person or live virtual.
The faculty profile for your cohort is sent with the full agenda and the next dates when you enquire.Request brochure →
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In their words
Knowledge transfer, emphasised throughout
“We worked with BIZENIUS for our Fresh Graduates Programme — they are simply amazing. Knowledge transfer and practical learning were emphasised throughout.”
Kuwait Investment Authority
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The training programme that became national regulation
What the team mastered, the regulator wrote into the rulebook.
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The Capability Arc™
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The licensed platform — 20+ engines, Basel I to 3.1, on your own servers.
Learning is one point on the Capability Arc. Many institutions pair this programme with the advisory engagement — and automate what the framework demands.
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Take the brochure with you.
One request — the full agenda, the faculty and the next cohort dates, sent personally by the admissions team.