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 · Live 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
Do these programmes cover the Basel III final reforms and the ICAAP/ILAAP cycle?
Yes. The BIZENIUS banking curriculum is built around the Basel III endgame, ICAAP, ILAAP, IRRBB, IFRS 9 provisioning, stress testing and BCBS 239. Participants leave able to quantify the output floor on their own portfolios, write capital and liquidity documents that withstand supervisory review, and defend the numbers to their board.
Are the programmes adapted to regional supervisors such as SAMA, CBUAE or BCEAO?
Casework is built around supervisory documents rather than textbook theory, and faculty include former practitioners who have sat on both sides of an examination. Programmes address the questions SAMA, CBUAE, BCEAO and other home regulators actually put to the desk, and an in-house edition can be tailored to a single jurisdiction.
How do I secure a seat on a banking programme?
Apply for a seat or request the brochure from the programme page. A senior practitioner — not a sales team — responds within one business day, and the brochure arrives with that reply. BIZENIUS runs on enquiry: there is no online checkout.
Can a programme run in-house for our bank?
Every BIZENIUS programme can be delivered in-house, tailored to your balance sheet, your regulator and your data, in English or French. Many institutions start with an open cohort, then commission a private edition for the wider team.
Share this programme
Know the right person for this seat?Nominate a colleague →
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.
Open the dossier →
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
BIZENIUS Accord
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.
Teams from these institutions train with BIZENIUS
Related programmes
Interest Rate Risk in the Banking Book Masterclass
The IRRBB rulebook in full — Pillar 2 foundations, the revised BCBS principles (D368) and how regulatory requirements compare with what banks actually do.
View programmeInterest Rate Risk and FX Exposure in Volatile Markets
Interest-rate and FX exposure managed together in volatile markets — behavioural modelling, risk aggregation, stress testing and CSRBB scenario analysis for the ALCO.
View programmeIntegrated 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.
View programmeBanking & Finance
Take the brochure with you.
One request — the full agenda, the faculty and the next cohort dates, sent personally by the admissions team.