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 · Live 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
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.