Market Risk – IRRBB and CSRBB Implementation Masterclass
IRRBB metrics, governance and stress testing done properly — with CSRBB brought up to the standard supervisors now expect of the banking book.
Format
Classroom · Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
Banks measured IRRBB for years while CSRBB sat in the margins; the low-rate environment and incoming regulatory guidelines have made credit spread risk in the banking book impossible to defer. This masterclass gives participants an in-depth working knowledge of market risk and IRRBB management — the metrics involved, best-practice approaches to modelling interest rate risk, and the computation of EVE and NII — together with measurement, reporting, stress testing (including reverse stress testing) and disclosure requirements, covered in practical detail. The cohort works through IRRBB governance frameworks, the Guidelines on IRRBB and CSRBB, the Regulatory Technical Standards on the IRRBB standardised approach, and what it takes to implement a best-practice IRRBB regime in your bank.
What you will do
Who attends
- Heads of ALM, treasury and balance-sheet management
- Market risk, interest rate risk and funds transfer pricing teams
- Risk modelling, quantitative analysts and stress testing teams
- Credit risk and risk strategy functions
- Supervision and regulation professionals
Programme agenda
Built for the decisions no textbook prepares you for
I.Market risk foundations
- Market and liquidity risk against strategic objectives
- Best-practice frameworks for assessing market risk
- The market risk of derivatives and portfolios
II.IRRBB methodology
- Modelling interest rate risk in the banking book
- Computation of EVE and NII
- Effects of unpredictable rate changes
III.Governance and regulation
- IRRBB governance frameworks
- Guidelines on IRRBB and CSRBB
- Regulatory Technical Standards on the IRRBB standardised approach
IV.Stress testing and disclosure
- IRRBB stress testing and reverse stress testing
- Approaches to measurement and reporting
- Disclosure requirements
Frequently asked
What are IRRBB and CSRBB, and why cover them together?
IRRBB is interest rate risk in the banking book; CSRBB is credit spread risk in the banking book, which sat in the margins for years while banks measured IRRBB. The low-rate environment and incoming regulatory guidelines have made CSRBB impossible to defer, so the masterclass brings both up to the standard supervisors now expect.
Which metrics and regulatory texts does the course work through?
The computation of EVE and NII, best-practice approaches to modelling interest rate risk, and stress testing including reverse stress testing, with measurement, reporting and disclosure requirements covered in practical detail. The cohort applies the Guidelines on IRRBB and CSRBB and the Regulatory Technical Standards on the IRRBB standardised approach.
Who should attend, and is it available in-house?
Heads of ALM, treasury and balance-sheet management; market risk, interest rate risk and FTP teams; risk modelling, quantitative analysts and stress testing teams; credit risk and risk strategy functions; and supervision and regulation professionals. BIZENIUS delivers it in English and French, with in-house editions available; sessions run on a rolling calendar and fees 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
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One request — the full agenda, the faculty and the next cohort dates, sent personally by the admissions team.