
Mastering IRRBB and CSRBB: Practical Stress Testing, Calibration, and Behavioural Modelling
- Χρηματοοικ. Ασφαλιστικά Τραπεζικά
ΠΕΡΙΓΡΑΦΗ
Interest Rate Risk in the Banking Book (IRRBB) and Credit Spread Risk in the Banking Book (CSRBB) have taken centre stage under the latest regulatory mandates.
This intensive programme bridges the gap between complex theoretical frameworks and hands-on balance sheet management. Participants will explore the practical implementation of EBA/Basel guidelines, moving beyond basic concepts to tackle the mechanics of Net Interest Income (NII) and Economic Value of Equity (EVE) sensitivity.
The course delivers actionable methodologies for modelling behavioural options, such as non-maturity deposits (NMDs) and loan prepayments, and establishes a robust framework for isolating and measuring CSRBB. Designed for immediate workplace application, this seminar uses real-world banking book simulations to equip professionals with the tools needed to optimize risk-return profiles and ensure stringent compliance.
ΣΚΟΠΟΣ ΣΕΜΙΝΑΡΙΟΥ
By the end of the programme, participants will be able to:
Explain the objectives and scope of Directive (EU) 2023/970 on pay transparency.
Identify the key obligations for employers, including pay reporting and transparency measures.
Interpret and apply the concept of “equal work or work of equal value” in the context of pay transparency and pay equity.
Assess the compliance risks and enforcement mechanisms under the Directive.
Evaluate the organisational impact of implementing pay transparency measures.
ΣΕ ΠΟΙΟΥΣ ΑΠΕΥΘΥΝΕΤΑΙ
Chief Risk Officers (CROs) and Senior Risk Managers steering enterprise risk policy.
Head of Asset Liability Management (ALM) and ALM Officers responsible for balance sheet positioning.
Treasury Directors and Treasury Managers executing hedging and funding strategies.
Financial Controllers and Regulatory Compliance Officers overseeing regulatory reporting and regulatory capital.
Internal Auditors tasked with validating IRRBB and CSRBB measurement frameworks.
ΠΕΡΙΣΣΟΤΕΡΕΣ ΠΛΗΡΟΦΟΡΙΕΣ
Trainer: Gaby Frangieh
A seasoned Banking, Finance and Risk Management Senior Expert with over two decades of experience in corporate finance, financial services,
Training Outline
IRRBB Governance & The Regulatory Landscape
Overview of the latest BCBS and EBA guidelines
Defining the dual-metric approach: EVE vs. NII
Risk appetite alignment and internal limits
Measuring IRRBB: Practical Cash Flow Engineering
Constructing interest rate repricing gaps
Running the 6 regulatory shock scenarios (Parallel, Flattener, Steepener, Short Up/Down)
Excel Case Study: Calculating EVE delta for a stylized banking book
Behavioural Modelling & Options in the Banking Book [Heading]
Modelling Non-Maturity Deposits (NMDs): Core vs. Non-core deposits, pass-through rates, and capping maturities
Prepayment risk: Modelling customer behaviour in shifting rate environments
Practical Simulation: Adjusting cash flow buckets for behavioural assumptions
CSRBB: Framework, Limits, and Practical Isolation
Defining CSRBB boundaries: What belongs in CSRBB vs. IRRBB or Market Risk?
Methodologies for extracting and calibrating credit spread curves
Measuring the impact of spread migration on the banking book
Stress Testing, Mitigation, and ALM Strategy
Designing reverse stress tests for interest rate shocks
Hedging strategies using interest rate swaps (IRS) and macro-hedges
Wrap-up Q&A and implementation roadmap
Training Style
The programme is designed to deliver knowledge and The programme is designed to deliver immediate practical utility via highly focused technical lectures, real-world banking bookcase studies, and interactive scenario simulations. Rather than reviewing purely qualitative concepts, the session dedicates significant time to a hands-on walk-through of an IRRBB measurement template. This allows participants to directly observe how varying behavioural assumptions (such as deposit stickiness or prepayment speeds) alter EVE and NII sensitivities. Learning is reinforced through interactive peer discussions on current market challenges, targeted troubleshooting of data limitations, and a final Q&A clinic where participants receive direct feedback on localized balance sheet risk issues.
CPD Recognition
This programme may be approved for up to 4 CPD units in Banking & Financial Regulation. Eligibility criteria and CPD Units are verified directly by your association, regulator or other bodies which you hold membership.
Αναλυτικό Κόστος Σεμιναρίου
- € 200.00
- € 0.00
- € 38.00
- € 200.00
- € 238.00
ΠΡΟΓΡΑΜΜΑ ΣΕΜΙΝΑΡΙΟΥ
Πέμπτη - 05 Νοε 2026
Ώρα
10:00 - 12:15
Τοποθεσία:
OnLine Virtual Classroom
Παρασκευή - 06 Νοε 2026
Ώρα
10:00 - 12:15
Τοποθεσία:
OnLine Virtual Classroom
Ελληνικά
English


