Interest Rate Risk in the Banking Book (IRRBB)

After years of near-zero interest rates, the recent return of material inflation combined with significant rate hikes has once again put interest rate risk back into the spotlight - with respect to its effect on both valuations and future interest income. At the same time the EBA and CSSF are continuing to increase their attention to interest rate risk and credit spread risk in the banking book, while interest rate risk in the trading book is materially impacted by the transition to Basel IV.

This course will enable participants to:

• understand the regulatory background of interest rate risk and spread risk in the banking book (IRRBB / CSRBB) and in the trading book (FRTB / Basel IV);
• understand regulatory expectations and best practices related to interest rate risk measurement and management.

• Overview of interest rate risk (sources of interest rate risk, types of interest rate risk)
• Relevant regulation on interest rate risk (IRRBB, CSRBB, FRTB / Basel IV)
• Measuring interest rate risk in line with regulatory requirements
• Case studies

This training is coordinated by Lorenz von Below, Senior Manager at PwC Luxembourg.

Lorenz von Below is a senior manager in PwC Luxembourg’s risk management practice for the banking sector with over 9 years of experience in consulting financial services providers of varying sizes and business models and with an academic background in mathematics.

His primary areas of work lie at the intersection of capital management, risk management and risk modelling, as well as the corresponding regulatory requirements. He has extensive experience gained at numerous institutions in Europe and beyond, including several European and Asian globally systemically important banks and several multilateral development banks. His experience encompasses advising clients on risk strategy, risk appetite, and risk management as well as on quantitative finance and valuation.

He holds a PhD in mathematics and a Certificate in Quantitative Finance (CQF).