Interest Rate Risk in the Banking Book (IRRBB): Measurement, Stress Testing & Balance Sheet Strategy

Date: 20^th & 21^st July 2026
Venue: DoubleTree by Hilton Kuala Lumpur

Classroom Training

WHY THIS COURSE?

Interest Rate Risk in the Banking Book (IRRBB) is once again a critical driver of bank resilience, profitability, and regulatory scrutiny amid volatile rate environments and shifting customer behaviour. This intensive two-day public training programme in Kuala Lumpur equips senior banking professionals with a practical, end-to-end understanding of IRRBB, covering measurement (EVE, NII, sensitivities), behavioural modelling, governance, stress testing, hedging strategies, and ALCO decision-making. Blending Malaysian regulatory expectations with global lessons from recent bank failures and digital banking case studies, the course goes beyond theory to focus on real balance sheet challenges. Through interactive simulations and ALCO role-plays, participants learn how to interpret IRRBB outputs, challenge assumptions, and translate risk insights into sound strategic actions that strengthen earnings stability, capital resilience, and balance sheet performance across interest rate cycles.

Learning Objectives and Key Takeaways

By the end of this course, participants will be able to:
- Understand the drivers and measurement of IRRBB, including key metrics and behavioural assumptions.
- Assess IRRBB exposures using EVE, NII and sensitivity tools, with awareness of limitations.
- Build and evaluate behavioural models for deposits, term funding and prepayment-sensitive assets.
- Design and interpret IRRBB stress tests, integrating results into ICAAP and capital strategies.
- Evaluate hedging strategies and understand their ALCO-level implications.
- Diagnose IRRBB vulnerabilities through real case studies and Pillar 3 disclosures.
- Use simulation-based decision making to optimise balance sheet risk-return trade-offs.

AGENDA

DAY 1: Foundations, Measurement & Behavioural Modelling

Session 1: Introduction to Interest Rate Risk

Types and sources of IRR in the banking book
How IRR arises from gaps, repricing and option behaviour
Banking book vs trading book distinctions
Assessing the impact of shifting rate environments
IRRBB governance, RMF, RAS and ALCO responsibilities

Session 2: ALM Efficiency Frontier & Strategic Steering

The three pillars of ALM optimisation
Positioning IRRBB within broader balance sheet strategy
How ALCO uses IRRBB insights to steer profitability and risk

Session 3: Failures Driven by Rate Movements

Lessons from US S&Ls, UK pension LDI crisis, Silicon Valley Bank
Case Study: IRRBB vulnerabilities in Japanese banks

Session 4: How IRR is Measured & Monitored

Key metrics: ΔNII, EVE, DV01, Earnings-at-Risk
Interpretation, limitations and model risk
Hedging strategies used by banks (practical overview)

Session 5: Behavioural Modelling for IRRBB

Modelling non-maturity deposits (core, beta, elasticity)
Term deposit redemption behaviour (TDRR)
Loan prepayments and conditional prepayment rates (CPR)
Why behavioural assumptions dominate IRRBB outcomes

Session 6: Pillar 3 IRRBB Disclosures Case Study

Understanding publicly disclosed IRRBB information
Benchmarking Malaysian banks, regional peers and global banks

Session 7: Technology, AI & IRRBB Analytics

Emerging use cases for AI in IRRBB measurement and forecasting
Global and Malaysian examples
Case Studies: Digital bank interest rate risk; IRRBB risks in Bank D

Session 8: Simulation – Impact of Regulatory Change

How policy shifts reshape balance sheet structure and business models
Implications for NII stability, EVE sensitivity and capital planning

DAY 2: Stress Testing, Hedging & Strategic ALCO Decision-Making

Session 9: IRRBB Governance & ICAAP Integration

Embedding IRRBB within ICAAP and capital planning
Early warning indicators and supervisory expectations
Setting and monitoring RAS-aligned limits

Session 10: Stress Testing & Scenario Design

Developing meaningful rate-shock and rate-path scenarios
Standardised vs internally developed approaches
Managing limit breaches and escalation triggers
Case Studies: IRRBB lessons from recent Malaysian and global cycles

Session 11: Hedging Strategy Masterclass

Structural vs tactical hedging decisions
Managing fixed-rate and floating-rate exposures
Practical Malaysian hedging instruments (MGS/MGII overlays, IRS, options)
When hedge accounting matters from an ALCO viewpoint

Session 12: ALCO Role-Play Simulation

Participants act as ALCO members
Interpreting IRRBB positions and proposing strategic actions
Balancing constraints: earnings, capital, liquidity, customer behaviour

Session 13: Run-the-Bank IRRBB Simulation

Analysing balance sheet resources and constraints
Identifying emerging IRRBB risks and margin pressure points
Deploying strategies and observing their effect on ROE, NII and limits

Session 14: Integration, Key Learnings & Application

Consolidating insights into a practical IRRBB improvement roadmap
Discussion of implementation challenges in Malaysian institutions
Closing reflections and action plans

Course Wrap-up

EXPERT COURSE DIRECTOR

Nick Wood is the founder and CEO of FinTorque Pte Ltd, a financial services consulting company and co-founder, and director of Augury Insights a Singapore fintech company specialising in balance sheet modelling. He has extensive experience in training large business groups on ALCO effectiveness and balance sheet optimisation and is a regular speaker at industry events on treasury topics. Nick was recently the Financial Sector Consultant for the International Monetary Fund (IMF), where he provided specialist advice on impact of regulatory reforms on banks and financial stability in Asia and the Emerging Markets and contributed towards the IMF Global Financial Markets Stability Report. He has been a bank treasury expert for 38 years, of which more than 27 years were spent in Asia, where he built highly profitable trading floors, conducted entity business reviews and has first-hand balance sheet management experience during market crises and idiosyncratic stress across large banking groups. His former roles included Head of Business Treasury, Head of Liquidity Management, Head of Funds Transfer Pricing Policy and ALM Business Planning Manager.

WHO SHOULD ATTEND?

This programme is designed for senior officers and key personnel with responsibilities for interest rate risk management, balance sheet risk oversight, and capital adequacy assessment, including those involved in ALCO deliberations and ICAAP processes. It is particularly relevant for officers from:
- Treasury/Asset–Liability Management (structural interest rate risk, balance sheet positioning, liquidity and funding strategy, investments).
- Risk Management (market risk, IRRBB, stress testing, model risk management, ICAAP)
- Finance (Funds Transfer Pricing, financial planning, capital management, earnings and profitability analysis).
- ALCO Secretariat and Balance Sheet Committees.
- Digital Banking and Business Units (product pricing, behavioural assumptions, new business models and rate sensitivity).
- Strategy and corporate planning.
- Internal audit and independent review functions.
- Regulatory reporting and compliance.
The programme is suitable for institutions subject to BNM’s Risk Management in Financial Institutions and Capital Adequacy Framework requirements, including conventional and digital banks.

REGISTRATION

*Please note there is a fee for attending this program. Please contact us for more details.

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Booking, Payment and Cancellation Policy – important, please read carefully

By completing, signing and revised, sent separately us this registration form you are conﬁrming participants on the program. You are also conﬁrming your understanding of our Booking, Payment and Cancellation Policy.

Cancellation Policy: If participants cannot attend the program, replacement participants are always welcome. Otherwise, participants must notify us any of cancellations or requests to transfer to a diﬀerent program at least 14 days before the program date to be eligible for a refund, less a 5% administration on fee. Participants who cancel within 14 days of the program start date are liable to pay the full program fee and no refunds will be given. Instead fees will be converted to a REDmoney Seminars voucher equivalent to the original fee, less a 10% administration charge. This voucher is transferable within your organization and must be redeemed within one year of issue or become void. If a program is postponed for whatever reason registrations and fees will be automatically transferred to the new program date. Participants who wish to transfer to a diﬀerent program will be subject to the same terms as above and charged any diﬀerence in fees. No refunds or program vouchers will be issued for a no-show.
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FEE

Fee per participant: RM6,500/US$1,750

Please note that the Ringgit price is applicable to Malaysia-domiciled participants only. Discounts are available for group bookings. Please contact us for more details.

IN-HOUSE/GROUP TRAINING

If you are looking for an in-house training program or wish to send a group to an existing public program, kindly please contact Andrew Tebbutt at [email protected] or +603 2162 7802.
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