Interest Rate Risk and FX Exposure in Volatile Markets
Interest-rate and FX exposure managed together in volatile markets — behavioural modelling, risk aggregation, stress testing and CSRBB scenario analysis for the ALCO.
Format
Classroom · Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
High rates, inflation and currency volatility hit the banking book together — yet most institutions still model interest-rate and FX exposure apart. This programme navigates the intricacies of interest rate risk, FX exposure and behavioural modelling as one discipline, pairing the theory with implementation. Sessions work through balance-sheet optimisation under IRRBB constraints, the strategic handling of high rates and their inflation impact with FX volatility factored in, and the practical application of stress testing with its risk-aggregation nuances. The cohort finishes with scenario analysis techniques, giving particular weight to Credit Spread Risk in the Banking Book (CSRBB), through case studies and working discussion.
What you will do
Who attends
- ALCO members and heads of asset-liability management
- Interest rate, liquidity and market risk teams
- Treasury and balance-sheet management
- Capital management and capital modelling teams
- Compliance, audit and heads of department
Programme agenda
Built for the decisions no textbook prepares you for
I.The regulatory frame
- The BCBS framework for IRRBB
- Regulatory diversity across jurisdictions
- Practical implementation of IRRBB frameworks
II.Modelling rate and FX exposure
- Interest rate and behavioural modelling
- Incorporating FX exposure and volatility
- Effective modelling techniques for risk management
III.Optimisation, stress testing and aggregation
- Balance-sheet optimisation under IRRBB
- High rates, inflation and FX volatility in strategy
- Stress testing applications
- Risk aggregation across rate and FX exposures
IV.Scenario analysis and CSRBB
- Scenario analysis techniques
- Credit Spread Risk in the Banking Book
- Navigating credit-spread shock scenarios
- Case studies and interactive sessions
Frequently asked
Why manage interest-rate and FX exposure together?
Because high rates, inflation and currency volatility hit the banking book together, yet most institutions still model them apart. The programme treats interest rate risk, FX exposure and behavioural modelling as one discipline, aggregating both risks into a single consolidated view the ALCO can act on.
Does the course cover CSRBB?
Yes — the closing sessions give particular weight to Credit Spread Risk in the Banking Book, working through scenario analysis techniques and credit-spread shock scenarios via case studies and working discussion, alongside stress testing with its risk-aggregation nuances and balance-sheet optimisation under IRRBB constraints.
Who should attend, and is the programme available in French?
ALCO members and heads of asset-liability management, interest rate, liquidity and market risk teams, treasury and balance-sheet management, capital management and modelling teams, and compliance, audit and heads of department. BIZENIUS delivers in English and French, with in-house editions tailored on request; sessions run on a rolling calendar and fees are provided on enquiry.
Who teaches this
Practitioners, not presenters.
Led by practitioners who hold, or have held, the seats this programme prepares you for: group treasurers and heads of asset–liability management, chief risk officers, heads of credit and capital management, and former central-bank supervisors who examined the very frameworks they now teach. Between cohorts the same people advise banks on those frameworks, so what you learn is what is being defended in front of boards and regulators today.
What the bench brings
- ALCO practice and treasury policy
- Funds transfer pricing design and restructuring
- IRRBB measurement: EVE and NII sensitivity
- Liquidity risk: LCR, NSFR and contingency funding
- Behavioural modelling of deposits and mortgages
- Balance-sheet forecasting for executive committees
Where they have practised
Current and former practitioners — people who hold the seat today alongside those who have held it.
Sectors: Banking & financial services · Professional services · Central banking & supervision · Insurance
Regions: Africa · the Middle East · Europe · Asia · the Americas
How they teach
- Live case studies from real institutions
- Modelling labs and balance-sheet simulations
- Regulator-style challenge sessions
- Group problem-solving on realistic institutional cases
- Knowledge checks and a personal action plan
Cohorts are kept small so every exercise is worked on the participants’ own situations — in person or live virtual.
The faculty profile for your cohort is sent with the full agenda and the next dates when you enquire.Request brochure →
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In their words
Knowledge transfer, emphasised throughout
“We worked with BIZENIUS for our Fresh Graduates Programme — they are simply amazing. Knowledge transfer and practical learning were emphasised throughout.”
Kuwait Investment Authority
From the Mandate Record
Mandate № 01 · Africa
The training programme that became national regulation
What the team mastered, the regulator wrote into the rulebook.
Open the dossier →
The Capability Arc™
Fix it · Advisory
Interest-Rate Risk in the Banking Book
Measurement, limits and hedging the board can defend.
Automate it · Smart IT
BIZENIUS Accord
The licensed platform — 20+ engines, Basel I to 3.1, on your own servers.
Learning is one point on the Capability Arc. Many institutions pair this programme with the advisory engagement — and automate what the framework demands.
Teams from these institutions train with BIZENIUS
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Take the brochure with you.
One request — the full agenda, the faculty and the next cohort dates, sent personally by the admissions team.