Who should attend

Target group

  • ALM/Treasury Managers and Professionals: Individuals responsible for managing a bank’s funding, liquidity, and balance sheet optimization.

  • Risk Managers: Professionals focused on ensuring compliance with regulatory frameworks and managing financial risks through effective FTP strategies.

  • Financial Analysts and Controllers: Analysts and controllers who need to understand the impact of FTP on profitability and financial decision-making.

  • Bank Executives and Strategists: Senior bank officers involved in strategic planning and decision-making who need to grasp FTP's role in shaping financial policies and strategies.

Course Description

Interest Rate Risk Management (IRRBB)

This webinar provides a comprehensive introduction to Interest Rate Risk in the Banking Book (IRRBB) and its role within Asset and Liability Management (ALM). Participants will learn how banks identify, measure, monitor, and manage interest rate risk using methodologies such as gap analysis, duration, PVBP, NII, and EVE. The course covers Funds Transfer Pricing (FTP), behavioural modelling of non-maturing deposits, replication portfolios, and the key components of IRRBB, including repricing risk, yield curve risk, basis risk, optionality, and credit spread risk. It also explains current Basel and EBA regulatory requirements, supervisory expectations, and lessons learned from recent banking failures such as Silicon Valley Bank and Silvergate Bank. Designed for treasury, ALM, risk management, finance, and regulatory professionals, this webinar combines regulatory guidance with practical banking examples and balance-sheet management techniques used in modern financial institutions.
Enroll Now

Content

IRR mapping and measurement

  • Successful IRR measurement: FTP system and assignment, new IR benchmarks
  • IRR mapping principles: standard bank products, non-maturing deposits/assets (NMD/NMA), embedded optionality decomposition (floorlets/caplets) fixed income products (bonds, swaps, …), other derivatives
  • Refresher: duration, convexity, zero curve, PV01, scenario analysis, VaR, Expected shortfall
  • Understanding different IR components; IRRBB risk sub-types: IR gaps and level risk, yield curve, basis, and optionality, CSRBB

Regulatory requirements in IRR and best practices

  • Overview of regulatory requirements IRR management from Basel I to Basle III-IV reforms
  • BCBS IRRBB standards and EU revised standards (EBA GL 2018/02)
  • Minimum IRRBB standard for a compliant bank (in EU)
  • Available regulatory metrics: EaR, EV, EVE, VaR
  • Effective IRR management framework and dealing with the regulatory challenges

Balance sheet management and IRR hedging

  • Design and implementation of IRR hedging strategies
  • Financial market instruments for hedging of IRR: swaps, bonds, futures options (Cap, Floor, Swaption)
  • Practical use cases and calculations, quizzes and surveys

Course curriculum

    1. About this course & Disclaimer

    1. Downloads

    2. 2026 06 - Presentation

    1. Webinar Agenda

    2. Interest Rate Risk and IRRBB - Webinar Recording

    3. Script

    4. Quiz - Test your knowledge

    1. ALM_IRLQ Excel Model (Description)

      FREE PREVIEW

    2. ALM_IRLQ Model - NMD/NMA modelling (Download)

    1. Before you go, please share your opinion

    2. More resources for you

      FREE PREVIEW

About this course

  • €369,00
  • 11 lessons
  • 1.5 hours of video content

Instructor

CEO, Bearning Martin Macko

Martin started his career in banking in 1994 as an MM&FX Treasury trader. Later he was appointed Treasury Director and Chairman of ALCO at a subsidiary of an international banking group. In 2007, Martin founded a consulting company. Later, Bearning expanded its activities to include professional banking education in the areas of ALM & Treasury, financial markets, risk management, fintech and digitalization. Martin holds several degrees and qualifications: Ing. (equivalent to M.Sc.) from the Slovak Technical University, ACI Dipl. (ACI Dipl.) from the Financial Markets Association, Financial Modeling & Valuation Analyst (FMVA)® and Certified Banking & Credit Analyst (CBCA)™ and Capital Markets & Securities Analyst (CMSA)® from the Corporate Finance Institute.

What makes this course different

The course goes beyond theory and regulation by explaining how banks actually model non-maturing deposits, calculate FTP, measure NII and EVE, and make balance-sheet management decisions in practice.

Enroll today

You might also be interested in

complementary or preparation courses

  • €246,00

    Banking and Financial Management (Bundle - 7 E-learning courses)

    suitable as complementary e-learning and for obtaining certificates
    Sign Up

  • €2.370,00

    ALM Masterclass (Live)

    suitable to understand financial bank management with our Excel model SimBa (Simulated bank)
    Sign Up

  • €2.500,00

    Consulting & Mentoring

    suitable for improving processes in your institution after the workshop
    Buy Now

  • €615,00

    FTP & Quantitative Planning Explained (Recording + Excel Model + Documenation)

    Webinar Recording and related materials
    Buy Now