Interest Rate Risk in the Banking Book (IRRBB)

Combien de temps dure la formation ?

1,50 heure(s)

Dans quelle(s) langue(s) la formation est-elle donnée ?

Quand a lieu la prochaine session ?

Qui organise cette formation ?

PwC Academy fait levier sur l'expertise de PwC pour offrir aux organisations de tous secteurs et régions des expériences pédagogiques de premier ordre. Notre objectif est d'aider à développer les connaissances, les aptitudes, les compétences et l'expertise des professionnels pour accompagner leurs organisations dans leur développement.

Le contenu de cette page n'est pas disponible en français

À qui s’adresse la formation ?

Risk professionals and executives

Quels sont les objectifs poursuivis ou les compétences visées ?

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.

Quel est le contenu de la formation ?

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

Quelles informations supplémentaires sont utiles à savoir ?

This training is coordinated by Jean-Philippe Maes, Partner at PwC Luxembourg.

Jean-Philippe Maes is a partner with over 15 years of expertise in Basel III, regulatory reporting, risk management, and internal governance, including Basel IV preparation. He has supported banks, investment firms, and management companies in implementing regulatory frameworks and managing risks from operational to internal models, including COREP/FINREP reporting. Recently, his focus has been on risk appetite frameworks and non-financial risks such as climate, conduct, and reputational risks. Jean-Philippe has led significant projects like designing recovery plans, conducting governance reviews, and training over 600 bankers. He is also a frequent speaker and represents PwC at Luxembourg’s Banks and Bankers’ Association Banking Supervision Committee.