IRRBB & ALM — Balance Sheet Optimisation Masterclass
IRRBB and strategic ALM as one exercise — behavioural assumptions, CSRBB, the IFRS 9 linkage and a balance sheet steered across risk and return.
Format
Classroom · Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
The hard part of interest rate risk on the balance sheet is the linkage: ALM, liquidity (LRP, NSFR) and IRRBB pull on the same positions, and the 2018 Basel standards for measuring and managing IRRBB assume banks can hold that linkage together. Meanwhile market pressure makes the efficient use of a bank’s resources — within a consolidated risk and return appetite — non-negotiable for institutions of every size. This masterclass treats IRRBB and strategic ALM as one exercise. The cohort works through risk appetite and governance, behavioural assumptions, yield curve and basis risk, CSRBB measurement, the link to IFRS 9 expected credit losses, stress testing, and balance-sheet optimisation across on- and off-balance-sheet items.
What you will do
Who attends
- Heads of ALM and balance-sheet management
- IRRBB, market risk and treasury teams
- Funds transfer pricing and capital modelling teams
- Stress testing, liquidity risk and Basel teams
- Risk model developers and supervisors
Programme agenda
Built for the decisions no textbook prepares you for
I.The IRRBB framework
- The 2018 Basel standards and how to implement them
- Linkage to ALM, liquidity (LRP, NSFR) and trading frameworks
- Defining IRRBB risk appetite
- Current and future governance considerations
II.Modelling IRRBB
- Approaches to modelling IRRBB
- Behavioural assumptions, yield curve risk and basis risk
- Value and income metrics
- Capturing CSRBB with an effective risk measure
III.Stress testing and disclosure
- Key challenges of running stress testing exercises
- Disclosure requirements as a discipline on practice
- The link to IFRS 9 and expected credit losses
IV.Strategic ALM
- Balance-sheet optimisation under a consolidated risk and return appetite
- On- and off-balance-sheet trade-offs
- Improving financial performance through strategic ALM
Frequently asked
How does this masterclass differ from a pure IRRBB regulations course?
It treats IRRBB and strategic ALM as one exercise. Beyond implementing the 2018 Basel standards, the cohort works through behavioural assumptions, yield curve and basis risk, CSRBB measurement, the link to IFRS 9 expected credit losses, and balance-sheet optimisation across on- and off-balance-sheet items under a consolidated risk and return appetite.
Who should attend the IRRBB and ALM optimisation masterclass?
Heads of ALM and balance-sheet management, IRRBB, market risk and treasury teams, funds transfer pricing and capital modelling teams, stress testing, liquidity risk and Basel teams, and risk model developers and supervisors. The efficient use of a bank’s resources is treated as non-negotiable for institutions of every size.
Is the programme available in-house and in French?
Yes. BIZENIUS delivers the masterclass in English and French, and an in-house edition can be tailored to your balance sheet, behavioural models and governance. Sessions run on a rolling calendar with dates confirmed on request; fees and quotations are provided on enquiry.
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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
From the Mandate Record
Mandate № 01 · Africa
The training programme that became national regulation
What the team mastered, the regulator wrote into the rulebook.
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The Capability Arc™
Fix it · Advisory
Interest-Rate Risk in the Banking Book
Measurement, limits and hedging the board can defend.
Automate it · Smart IT
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The licensed platform — 17 engines, Basel I to 3.1, on-premise.
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.