Managing Interest Rate Risk In The Banking Book

This programme deepens participants’ understanding of Interest Rate Risk in the Banking Book (IRRBB) and equips them with practical strategies to measure, monitor, and mitigate exposures.

It further explores how banks can navigate the current environment of declining rates while optimizing portfolio diversification and earnings stability.

LEARNING OBJECTIVES

• Analyze the key drivers of Interest Rate Risk in the Banking Book and its impact on performance.
• Apply effective tools to measure and assess IRRBB exposures.
• Evaluate practical mitigation strategies to manage risk and enhance returns.
• Develop actionable insights to align IRRBB management with the bank’s overall risk appetite and regulatory standards.

COURSE CONTENTS

• Understanding IRRBB and its relevance in balance sheet management
• Differentiating Banking Book vs. Trading Book exposures
• Macroeconomic and policy drivers of interest rate shifts in Ghana (MPC trends, inflation, T-bill yields)
• Gap and duration analysis techniques: concepts, steps, and interpretation
• Stress testing IRRBB under Ghanaian yield curve scenarios
• How Ghanaian banks can strengthen IRRBB governance under Basel III transition
• ALCO’s strategic role in managing IRRBB exposures
• Local market constraints and opportunities for hedging
• Linking IRRBB to liquidity, capital, and market risk management
• Coordinating Treasury, Risk, and Finance in IRRBB governance
• Setting limits, triggers, and KPIs for effective IRRBB control
• BoG reporting requirements and regulatory disclosure expectations

LEARNING OUTCOMES

• Interpret how changing interest rates affect the bank’s earnings and economic value.
• Implement suitable tools and models to measure and monitor IRRBB exposures.
• Apply practical mitigation techniques to optimize balance sheet resilience and returns.
• Integrate IRRBB insights into strategic decision-making and regulatory reporting processes.

Managing Interest Rate Risk In The Banking Book

Duration: 2 days

Skill Level: Advanced

Delivery Mode: In-person

Month: July