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Mastering IRRBB and CSRBB: Practical Stress Testing, Calibration, and Behavioural Modelling

Mastering IRRBB and CSRBB: Practical Stress Testing, Calibration, and Behavioural Modelling

  • 20% Discount Across All Autumn 2026 Programmes | Register by 4 September 2026

Dates

  • November 2026
      to   (2 sessions)
    Delivered Online
    €200+ VAT
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Highlights

  • Live Online

  • 4 CPD Units | 4 Hours


The EIMF Live Online Learning Experience

Participants will receive access to the recorded sessions of the course.

EIMF subject-matter experts deliver engaging and interactive courses across a broad spectrum of areas, that can be enjoyed in the comfort of your own chosen environment. Read more


Course Overview

Interest Rate Risk in the Banking Book (IRRBB) and Credit Spread Risk in the Banking Book (CSRBB) have taken centre stage under the latest regulatory mandates.

This intensive programme bridges the gap between complex theoretical frameworks and hands-on balance sheet management. Participants will explore the practical implementation of EBA/Basel guidelines, moving beyond basic concepts to tackle the mechanics of Net Interest Income (NII) and Economic Value of Equity (EVE) sensitivity.

The course delivers actionable methodologies for modelling behavioural options, such as non-maturity deposits (NMDs) and loan prepayments, and establishes a robust framework for isolating and measuring CSRBB. Designed for immediate workplace application, this seminar uses real-world banking book simulations to equip professionals with the tools needed to optimize risk-return profiles and ensure stringent compliance.


Training Objectives

By the end of the programme, participants will be able to:

  • Explain the objectives and scope of Directive (EU) 2023/970 on pay transparency.

  • Identify the key obligations for employers, including pay reporting and transparency measures.

  • Interpret and apply the concept of “equal work or work of equal value” in the context of pay transparency and pay equity.

  • Assess the compliance risks and enforcement mechanisms under the Directive.

  • Evaluate the organisational impact of implementing pay transparency measures.


Training Outline

IRRBB Governance & The Regulatory Landscape

  • Overview of the latest BCBS and EBA guidelines

  • Defining the dual-metric approach: EVE vs. NII

  • Risk appetite alignment and internal limits

Measuring IRRBB: Practical Cash Flow Engineering

  • Constructing interest rate repricing gaps

  • Running the 6 regulatory shock scenarios (Parallel, Flattener, Steepener, Short Up/Down)

  • Excel Case Study: Calculating EVE delta for a stylized banking book

Behavioural Modelling & Options in the Banking Book [Heading]

  • Modelling Non-Maturity Deposits (NMDs): Core vs. Non-core deposits, pass-through rates, and capping maturities

  • Prepayment risk: Modelling customer behaviour in shifting rate environments

  • Practical Simulation: Adjusting cash flow buckets for behavioural assumptions

CSRBB: Framework, Limits, and Practical Isolation

  • Defining CSRBB boundaries: What belongs in CSRBB vs. IRRBB or Market Risk?

  • Methodologies for extracting and calibrating credit spread curves

  • Measuring the impact of spread migration on the banking book

Stress Testing, Mitigation, and ALM Strategy

  • Designing reverse stress tests for interest rate shocks

  • Hedging strategies using interest rate swaps (IRS) and macro-hedges

  • Wrap-up Q&A and implementation roadmap


Training Style

The programme is designed to deliver knowledge and The programme is designed to deliver immediate practical utility via highly focused technical lectures, real-world banking bookcase studies, and interactive scenario simulations. Rather than reviewing purely qualitative concepts, the session dedicates significant time to a hands-on walk-through of an IRRBB measurement template. This allows participants to directly observe how varying behavioural assumptions (such as deposit stickiness or prepayment speeds) alter EVE and NII sensitivities. Learning is reinforced through interactive peer discussions on current market challenges, targeted troubleshooting of data limitations, and a final Q&A clinic where participants receive direct feedback on localized balance sheet risk issues.


CPD Recognition

This programme may be approved for up to 4 CPD units in Banking & Financial Regulation. Eligibility criteria and CPD Units are verified directly by your association, regulator or other bodies which you hold membership.


  • Who Should Attend

  • Chief Risk Officers (CROs) and Senior Risk Managers steering enterprise risk policy.

  • Head of Asset Liability Management (ALM) and ALM Officers responsible for balance sheet positioning.

  • Treasury Directors and Treasury Managers executing hedging and funding strategies.

  • Financial Controllers and Regulatory Compliance Officers overseeing regulatory reporting and regulatory capital.

  • Internal Auditors tasked with validating IRRBB and CSRBB measurement frameworks.


In-house Training

For groups within the same organisation, this course may be customised to meet any specific needs and delivered in-house.

Facilitators

  • GF

    Gaby Frangieh

    A seasoned Banking, Finance and Risk Management Senior Expert with over two decades of experience in corporate finance, financial services, and risk analysis. Contributed to strategic decision-making and operational improvements at Banque BEMO SAL Group (a USD 10 billion medium sized commercial bank based in Europe, Lebanon and Syria), serving as Acting CEO and Chief Risk Officer, fostering organizational growth and resilience leading a team of around 300 staff. Mr. Frangieh established throughout his career best practices in terms of Risk Management, Financial Control, and Corporate Governance acting as Project Leader in several national and international initiatives. He managed the transition to a fully digitalized internal control framework ensuring coverage and follow up of all risk exposures. He led the full completion of several private placements from initiation to successful issuance and placement covering subordinated bonds and preferred shares with a consolidated value in excess of USD 250 million. Since 2005, Mr. Frangieh led workshops and specialized public and in-house trainings with reputed forums and associations including the Union of Arab Banks, the Association of Banks in Lebanon as well as the Banking Control Commission. He has also acted as permanent Lecturer at the Institute of Higher Banking Studies within Saint Joseph University in Beirut where he provided regular courses covering Banks Financial Performance Assessment, Asset and Liability Management, Risk Management, Corporate Governance, Advanced Risk Measurement Methodologies, Basel Committee Requirements, Evolution of Money and Financial Regulations. Workshops held in Egypt, Doha, Amman in cooperation with the Central Banks of the related jurisdiction were held covering latest topics and requirements pertaining to Risk Management and Banking. Graduated with a Master’s degree in Money and Banking from the American University of Beirut (AUB), Mr. Frangieh started his professional career within ABN AMRO Bank – Beirut Branch and then moved to Banque BEMO SAL Group where he remained until 2022. During this period, Mr. Frangieh was assigned key leadership positions serving as member in specialized management and Board Committees including Risk, Governance, Investment and ALCO. Since 2022, he has been advising international regulatory authorities as well as prime banking/financial institutions and large family owned corporate clients on all topics pertaining to investments, internal control and more specifically Risk Management. With more than 29,000 followers on Linkedin platform mostly consisting of key directors from global regulatory authorities (such as OCC, FDIC, EBA, ECB and others), Mr. Frangieh’s shared personal research compilations addressing advanced topics covering Basel III Requirements, Risk Management, Risk Modeling and Stress Testing exceeded 2 million impressions.

Frequently Asked Questions

  • When will I receive my invoice?

    The invoice is issued on the day the course starts.

  • What payment methods are accepted?

    Payments can be made by bank transfer, cheque, or credit card.

  • When will my certificate be issued?

    Certificates are issued within 7–10 days after the course has been completed, provided that the invoice has been paid.

  • How can I access my certificate?

    Once your certificate has been issued, you will receive an automated email from Cademy notifying you that it is available.

    Click the Get Your Certificate button in the email to download your certificate.

    You can also access it from your Cademy account:

    1. Log in to your Cademy account from https://cademy.io
    2. Click on My Account from the top-right corner.
    3. From the drop-down menu select My Courses and Bookings.
    4. Choose the relevant course.
    5. Under Participants, click the three dots located next to your name. 
    6. Select Get Certificate.
  • Where can I access the course material?

    To access the course materials, such as presentations and recordings:

    1. Log in to your Cademy account from https://cademy.io
    2. Click on My Account from the top-right corner.
    3. From the drop-down menu select My Courses and Bookings.
    4. Choose the relevant course.
    5. Under Extra Details, you will find all the available course materials.

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