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.