Interest Rate Risks Management In Banking Book From Basel 4 Perspective

//Interest Rate Risks Management In Banking Book From Basel 4 Perspective
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  (1-day online course)         



Adrian Codirlasu, PhD, CFA – Presenter/Trainer/Assoc. Prof. – Vicepresident AAFBR, Vicepresident of the CFA Society Romania, member of ACI Romania

Laurentiu Mihailescu, PhD – International Consultant/Presenter/Trainer – Senior Expert ALM & Treasury, Big4

Interest rate risk arising from non-trading book activities is an important financial risk for credit institutions, which is heavily scrutinized by regulators through Basel 4 package and included also in the European legislation through EBA guidelines. The supervisory framework requires that banks implement and develop their own methodologies and processes for identification, measurement, monitoring and control of this risk.

This course provides a practical view in implementing and management of the interest rate risk in the banking book, doubled by a comprehensive overview of the current regulations and legislation at the European level (CRD V and CRR II) always keeping a touch point with the overarching BCBS framework. These requirements will be presented from the industry best practice point of view and also will introduce details of other regulatory initiatives that are impacting interest rate risk management in the banking book (Fundamental Review of Trading Book and liquidity risk management).

IRRBB – Interest Rate Risk in the Banking Book refers to the current or prospective risk to the bank’s capital and earnings arising from adverse movements in interest rates that affect the bank’s banking book positions. Interest rate changes will influence both the value and possibly timing of future cashflows. Consequently, management of interest rate in the banking book is focused along two axes: economic value and earnings. Excessive unmanaged interest rate risk could be a significant threat to value of the franchise, capital base and future earnings.

This online course takes participants on a deep dive into the theoretical as well as practical aspects of managing interest rate risk within the banking book and based on the practical experience of the facilitators will enable a fresh view as well as a benchmark to industry best practice.


  • Understand the importance of the IRRBB framework within Basel 4 overall framework;
  • Master the knowledge and practical techniques needed to manage interest rate risk in banking book;
  • Understand the key financial concepts to calculate the interest rate risk exposures;
  • Gain insight into best practices in hedging this risk.


I. Introduction to interest rate risk management in banking book (IRRBB)

1. IRRBB – essentials

  • Definition
  • Basel 4/ CRD V&CRR II overview
  • Baking vs trading book split
  • Framework for managing IRRBB (risk indicators, required risk framework and infrastructure, risk scenarios)

2. Measurement of IRRBB

  • Economic perspective : EVE1/EVE@Risk and NPV2/NPV@Risk
  • Profitability perspective: NII3 and NII@Risk;
  • Mathematical notions: yield curve, forward rates, bootstrapping, discount factors, yield curve add-ons


3. Internal approach for managing IRRBB

  • Building a good framework to manage interest rate risk in the banking book;
  • Internal stress test scenarios – parallel and non-parallel;
  • Treatment of non-maturing positions


4. Hedging the interest rate risk

  • Hedging alternatives in the market (bonds, derivatives, alternative operations) ;
  • Building a strong Risk Appetite Statement matrix;
  • Additional key factors to manage (model risk, convexity risk, yield curve current and future shape)


5.IRRBB future developments

  • Introduction of credit elements;
  • Pillar 2 capital for IRRBB;
  • Count for more behavioural optionalities;
  • Stress test for IRRBB;

NB: EVE – Economic Value of Equity, NPV – Net Present Value, NII – Net Interest Income

TARGET AUDIENCE:  Directors and Managers of Risk Management and any Stakeholder with an interest or responsibility in managing balance sheet development and planning. Specific titles and functions that are of particular relevance include: Market Risk Management, Trading Market Risk, Market Risk Modelling, Credit Risk Modelling, Risk Methodology, Risk Analysis, Model Validation, Regulatory and Economic Capital, Implementation of Basel Accords, Finance and Treasury, Regulation & Compliance, Internal Control, Audit, Financial Institutions Advisory, Bank Supervision and Regulation, Financial Stability and Economic Analysis, Security, etc.The webinars will be highly interactive, based on discussions and case studies.

NUMBER OF PARTICIPANTS: limited to max. 12

The webinars will be highly interactive, based on discussions and case studies.

Facilitator: Adrian Codirlasu, PhD, CFA 

Presenter/Trainer/Assoc. Prof. – Vicepresident  AAFBR, Vicepresident of the CFA Society Romania, member of ACI Romania

Adrian  is a senior banker with 20 years of experience in banking and financial markets. He is a CFA charterholder since 2006 and holds a  PhD  in international finance.  Adrian have 5-year experience as a Senior Options Dealer with ING Bank where he helped started the bank  derivatives  business in Romania and over 8 years experience in  risk  management  (market, liquidity, operational, reputational and credit risk). Previously, he has been a Senior Economist in the Research Dept. of the National Bank of Romania for about 6 years. Adrian is also an Associate Professor with DOFIN – Doctoral School of Finance,  ASE. Between 2011 – 2013, Adrian was the President of the Association of Financial-Banking Analysts in Romania and for the last 13 years Adrian  has  been  a member of the CFA Romania Board of Directors, as well as the association’s President for seven years. 

Facilitator: Laurentiu Mihailescu, PhD

International Consultant/ Presenter/Trainer – Senior Expert Treasury and ALM, Big4

Laurentiu is a senior expert with relevant international experience in market risk management, treasury and Assets and Liabilities Management. He holds a PhD in Risk Management as well as a multiple specialized diplomas in the field. Laurentiu have over 10-year experience as a Head of ALM and Market Risk with ING Bank where he helped implementing risk management for balance sheet in Romania for new universal banking concept and over 15 years experience in risk management (market, liquidity, operational and counterparty risk). Previously, he has been in charge in managing Market, Operational and Counterparty Risk Departments in several banks. Relevant for his experience are also the decisions positions held in many relevant managing committees (ALCO, Strategic Balance Sheet Management, Liquidity Coordinator etc).

WHEN: October 1st, 2021 (09,00 – 17,00)

DURATION:  8 hours (net)                                              REGISTRATION:  by September 24, 2021

LANGUAGE: Romanian (or English at request)

The webinars will be hosted and delivered using ENVISIA Online Platform, allowing the virtual participation, both from home or from work, with no risks associated, using just a browser. After the registration to the course, one day before the webinars took place, the participants will receive a link to access the virtual classroom.

A CERTIFICATE  will be issued by the e-learning platform, after the course.


Gabriela HÂRȚESCU, PhD

COO & Dean ENVISIA Business School

Tel: 0040.748.886.800