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 Jean-Philippe Maes, Partner at PwC Luxembourg and Vadim Bordian, Director at PwC Luxembourg.

Jean-Philippe is a partner in PwC's Regulatory Compliance services. He leads the firm’s banking and PFS risk Advisory team and is the lead advisor for CRD/CRR topics.

He has over 15 years of experience in Basel III areas and has helped many banks, investment firms and management companies to implement Basel III and prepare for Basel IV. He has worked in most dimensions of risk management, from operational risk to internal models, encompassing reporting aspects (such as COREP/FINREP) and governance matters.

Lately, Jean-Philippe has been focusing on risk appetite frameworks and the management of non-financial risks such as climate, conduct or reputational risks.

Vadim has more than 7 years of risk consulting experience in implementing risk management solutions for financial services as well as technical and regulatory external audit support.

He holds the FRM designation issued by the Global Association of Risk Professionals and is a graduate of the EDHEC business school.

In his role, Vadim supports clients on the modeling and management of credit risk, market risk, funding and liquidity as well as on the related regulations.