Interest rate risk modelling and IRRBB
View AgendaKey reasons to attend
- Learn about dynamic balance sheet challenges
- Discover asset-liability management (ALM) framework core components
- Identify relevant hedging strategies for mitigating risks
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About the course
Join us in this virtual learning event to enhance your knowledge on interest rate risk measurement, management and modelling. Participants will navigate diverse and essential aspects such as the implications of interest rate risk modelling with FTP, ALM and climate-related financial risks.
Key sessions will provide participants with best practices to effectively assess IRRBB by studying metrics such as economic value and economic value-at-risk. Participants will deep dive into the technicalities of an integrated balance sheet management framework by learning how to optimise the balance sheet cycle.
Alongside the expert tutor and peers, participants will connect the insights with practical experiences via active discussions in the Q&A sessions and by examining relevant case studies.
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Learning objectives
- Measure interest rate risk in the banking book (IRRBB) with key metrics
- Evaluate the interest rate risk regulatory environment and expectations
- Navigate model estimation and model application of non-maturity deposits
- Assess credit spread risk in the banking book and map material risks
- Create funds transfer pricing (FTP) curves and apply to diverse products
- Address pipeline risk and margin drawdown models for IRRBB
Who should attend
Relevant departments may include but are not limited to:
- Liquidity risk management
- Risk management
- ALM
- Treasury
- FTP
- Balance sheet management
- Compliance
- Interest rate modelling
- Governance
- IRRBB
- Credit spread risk in the banking book
Agenda
March 18–20, 2025
Live online. Timezones: Emea/Americas
Sessions:
- Interest rate risk measurement
- Funds transfer pricing (FTP) and strategic role in ALM analyses
- Credit spread risk in the banking book (CSRBB)
- Non-maturity deposits (NMDs) models for IRRBB
- Early termination, pipeline risk and equity models for IRRBB
- Business case
- Climate-related financial risks
- Integrated balance sheet management framework
- Overview of ALM future landscape
Tutor:
- Giovanni Campo, Head of ALM and liquidity risk competence line international markets, Prometeia
July 8–10, 2025
Live online. Timezones: Emea
Sessions:
- Interest rate risk measurement
- Funds transfer pricing (FTP) and strategic role in ALM analyses
- Credit spread risk in the banking book (CSRBB)
- Non-maturity deposits (NMDs) models for IRRBB
- Early termination, pipeline risk and equity models for IRRBB
- Business case
- Climate-related financial risks
- Integrated balance sheet management framework
- Overview of ALM future landscape
Tutor:
- Giovanni Campo, Head of ALM and liquidity risk competence line international markets, Prometeia
Tutors
Giovanni Campo Risk Learning Faculty
Head of asset-liability management and liquidity risk competence line international markets
Prometeia
Giovanni is associate partner and head of asset liability management (ALM) and liquidity risk competence line for international markets at Prometeia.
Subject matter expert in balance sheet management and treasury risks, he has developed a deep experience in interest rate risk of the banking book and credit spread risk of the banking book, behavioural models, fund transfer pricing and hedge accounting.
Currently leading commercial initiatives and delivery projects of ALM and balance sheet risks solutions of the International Risk Practice.
Recent assignments include major banking groups in Germany, Luxembourg, Austria, Greece, Cyprus, Romania, Moldova and Turkey.
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- How the rate hike cycle emboldened banks’ deposit modelling
- Banks cry foul over shock decision from Basel Committee
- Filling the gaps in Basel’s interest rate risk measures
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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