Interest rate risk in the banking book (IRRBB) is part of the Basel capital framework under Pillar 2 and principles for the management and supervision of interest rate risk were set out in 2004 by the BCBS. Following consultation during 2015, BCBS published revised principles (D368) in April 2016, to reflect changes in market and supervisory practices.

The course has three main objectives:

  • To provide a comprehensive overview of the new standards presented in BCBS paper D368 and compare them with existing requirements set out in 2004 and requirements set out by the EBA.

  • Provide a refresher course to participants in the necessary mathematics required to construct zero curves, obtain discount factors and compute EVE and NII. This will involve numerical examples and case studies including constructing a regulatory report based on the standardised framework proposed in D368. A role-playing exercise will be used to practice engagement with a regulator, defending assumptions and responding to likely regulatory challenge.

  • Look at the interaction of banking book interest rate risk with other areas of regulation, for example covering topics such as risk transfer, fund transfer pricing, liquidity risk capture in FRTB and interactions between the banking book and the trading book.

Those with less quantitative backgrounds should not be discouraged by the mathematical content. Spread sheet examples will be provided with all data and formulae that will allow all participants to engage in ‘what-if’ scenarios to gain a feel for how different assumptions can affect the results in regulatory reports and the likely challenges. Participants will be invited to work in groups to prepare a report based on their own assumptions and a role-playing session will be used to give participants experience of a meeting with regulators to review their submissions.

Some of the Learning Outcomes


Gary Dunn
Gary DunnManaging Partner
Gary Dunn Consulting Ltd

Gary Dunn started out life as a statistician at the Bank of England in 1977 and after a 16 year career there ended up as a senior manager within UK foreign currency reserve management with responsibility for interest rate risk. Gary ventured into the private sector where he spent a further10 years as a proprietary trader. Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory market risk models (CAD models including VaR and IRC). Whilst at FSA Gary attended the AIG/TBG, a BCBS working group responsible for technical design of proposed market risk regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel 2.5 and also wrote internal working papers on VaR, ES and other spectral risk measures which contributed to a review of the academic literature on market risk measures, the first in a long series of FRTB papers from BCBS and industry. Then as a senior manager at HSBC and subsequently a managing director at Morgan Stanley, Gary has continued to participate in the dialogue between BCBS and industry that has led to the formulation of the final rules set out in D352.Now Gary works as a private consultant but does much of his consultancy work in collaboration with Avantage Reply.

If you wish to know more about his experience, do not hesitate to contact us.

Feel free to suggest the topics that you would like to learn about at
our IRRBB Training Course.

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Request detailed Agenda - Interest rate risk in the banking book In-house Training

Benefits of In-house Trainings

Who should attend?

C-level Executives, Presidents/VPs/EVPs/FVPs/SVPs, Global Heads, Department Heads, Managing Directors, Directors, International/Senior Managers, Managers, Analyst, Officer OF:

  • Banking Book Risk
  • Banking Investment Book
  • Basel
  • Capital Management
  • Change management
  • Governance
  • Interest Rate Risk
  • Internal Audit
  • IRRBB Policy
  • IRRBB Program
  • Liquidity Risk
  • Market Risk Management
  • Model Validation
  • Regulatory change management
  • Regulatory Compliance
  • Risk
  • Risk Analytics
  • Risk management
  • Treasury
  • Treasury risk

Our Risk events were attended by these companies