Interest 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.
Format
Classroom · Live Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
High rates, inflation and currency volatility hit the banking book together — yet most institutions still model interest-rate and FX exposure apart. This programme navigates the intricacies of interest rate risk, FX exposure and behavioural modelling as one discipline, pairing the theory with implementation. Sessions work through balance-sheet optimisation under IRRBB constraints, the strategic handling of high rates and their inflation impact with FX volatility factored in, and the practical application of stress testing with its risk-aggregation nuances. The cohort finishes with scenario analysis techniques, giving particular weight to Credit Spread Risk in the Banking Book (CSRBB), through case studies and working discussion.
What you will do
Who attends
- ALCO members and heads of asset-liability management
- Interest rate, liquidity and market risk teams
- Treasury and balance-sheet management
- Capital management and capital modelling teams
- Compliance, audit and heads of department
Programme agenda
Built for the decisions no textbook prepares you for
I.The regulatory frame
- The BCBS framework for IRRBB
- Regulatory diversity across jurisdictions
- Practical implementation of IRRBB frameworks
II.Modelling rate and FX exposure
- Interest rate and behavioural modelling
- Incorporating FX exposure and volatility
- Effective modelling techniques for risk management
III.Optimisation, stress testing and aggregation
- Balance-sheet optimisation under IRRBB
- High rates, inflation and FX volatility in strategy
- Stress testing applications
- Risk aggregation across rate and FX exposures
IV.Scenario analysis and CSRBB
- Scenario analysis techniques
- Credit Spread Risk in the Banking Book
- Navigating credit-spread shock scenarios
- Case studies and interactive sessions
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.
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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.
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
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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.