This two day course addresses the issue of IRRBB from first principles. It will show how some level of IRRBB is the inevitable result of normal retail and commercial banking activity and that while “trading book” style measures have some part to play in its management, they do not provide a complete solution.

Participants will be taken through the main sources of IRRBB, the metrics commonly used to measure it, their principal advantages and disadvantages and how hedging instruments can be used to mitigate it.  The course will also cover how, in practice, banks control and measure IRRBB paying particular attention to risk appetite, the limit framework and the vital important of good governance.

The course will conclude with a review of the current regulatory framework for IRRBB and the proposals now on the table to strengthen this.   

As far as is possible, concepts will be explained without reference to mathematical formulae; this reflects the presenter’s firmly held view that IRRBB is ultimately more about judgement than mathematics and, for it to be effectively managed, it must be fully intelligible and transparent to the non-specialist. Participants will be actively encouraged to discuss issues relating to their own banks and local markets.