Work & Climb: Quantifying Interest Rate Risk in the Banking Book (IRRBB) / Fintegral Deutschland

The intricate interplay between interest rate fluctuations and banking portfolios has propelled IRRBB to the forefront of risk management conversations since it became an existential risk for several banks in early 2023. In this workshop, we will provide a brief introduction to all things related to interest rate risk in the banking book. We will discuss the current monetary and economic situation, credit spreads, and hedges before delving into our main topic: The quantification of interest rate risk in the banking book. Based on an imaginary bank, we will investigate shock scenarios and share insights on the modelling challenges, such as the weighting of time series, and dealing with autocorrelation and trends.

After the workshop, there is a climbing activity (no climbing experience needed) in the climbing-hall planned and we will finish the day with some drinks.


Studierende in den Studiengängen

  • (Wirtschafts-)Mathematik
  • Wirtschaftswissenschaften
  • BWL
  • Management Analytics
  • (Wirtschafts-)Informatik

About Fintegral Deutschland

Fintegral ist eine auf Risikomanagement spezialisierte und internationale Unternehmensberatung. Wir beraten Finanzdienstleister unterschiedlicher Größe und Geschäftsmodelle auf strategischer und operativer Ebene. Wir entwickeln individuelle Lösungen für unsere Kunden und verbinden bankfachliche Expertise sowie quantitatives und technisches Know-how mit einer Leidenschaft für unsere Projekte im Risikomanagement.

Zeit und Ort

Donnerstag, 12. Oktober 2023 – 11:00 – 18:00 Uhr + After Drinks (incl. Lunch)

Du hast Fragen?

Cornelia Mattern M.A.

+49 621 1811054



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