Interest Rate Risk Management Strategies and IRRBB Amsterdam

This training course will provide attendees with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk.

This training course will have sessions from industry experts covering topics important post IRRBB implementation. These will include; the current regulatory environment, model complexities and hedging strategies within interest rate risk management, IRRBB governance, AI and automation, accounting treatment and reporting with other regulation and behavioural modelling.

This course is CPD Accredited and delegates will earn 12 points if in attendance for both days of the course.

Who Should Attend

This course is primarily aimed at those working with the interest rate risk in the banking book regulation however Risk Training welcomes anyone who would benefit from this training. Specific job titles may include but are not limited to:

  • Risk Modelling
  • Asset-Liability Management
  • Market Risk
  • Treasury Risk
  • Liquidity Risk
  • Balance Sheet Risk
  • Stress Testing
  • Credit Risk
  • Capital Management
  • Regulatory Reporting
Learning Outcomes

By the end of the two days, delegates will have new or improved knowledge of:

  • How libor transition will effect IRRBB
  • Understand different hedging strategies and other model complexities
  • How to integrate IRRBB with other frameworks
  • How to effectively use automation, AI and data for risk management
  • What the current IRRBB business challenges are
  • Understand how to manage the balance sheet successfully
  • Regulatory considerations of behavioural modelling

Holger Thiele

Treasury ALM Senior


Holger Thiele is specialist for balance sheet and interest rate risk management in the asset liability management function of Commerzbank’s Group Treasury. Funds transfer pricing (for interest rate risks)
and behavioural modelling as well as hedge accounting are his focus areas. He studied economics at Frankfurt School of Finance. After working in the risk control and management functions of Dresdner Bank he spent the following four years in the structured finance/securitization unit of Dresdner Kleinwort Wasserstein. Since 2009 he works at Commerzbank‘s treasury function acting as a link between the different business areas with a special focus on IRRBB.

Daniel Almehed

Senior Business Advisor


Daniel Almehed is a Senior Business Advisor at BearingPoint and an senior expert in the risk management consultancy team within their Banking and Capital Markets practice. Daniel have a specific focus on Banking Book risk controlling and management, covering IRRBB & liquidity risk. His projects covers governance aspects (e.g. 3 lines of defence concept), development of methodology and ALM & Risk software implementation.

Daniel is an banking book risk expert with more than 10 years’ experience in a variety of different roles in consultancy projects for international acting banking groups

Frank Mulder

Head Interest Rate Risk Steering & Strategy


Frank Mulder MSE, aerospace engineer by training, has been active in interest rate derivatives for over a decade. In 2016 he was appointed as Head Interest Rate Risk Steering & Strategy in Rabobank's treasury department. Before assuming this role he has been Senior Portfolio Manager for the investment books and a Senior Trader Interest Rate Derivatives. Next to his day-to-day activities for the bank, Frank is a board member of Rabobank’s pension fund, a guest lecturer on derivatives and actively involved in the fintech sector in the Netherlands.

Hanane Saih

Head of Market, Liquidity and Funding Risk

NatWest Markets N.V.

We asked Hanane about her sessions and why they are so important. Here is what she had to say:

LIBOR reform can be seen as the most significant change to financial markets in the recent years. The transition to new risk free rates impacts banks, asset manager, insurers as well as corporates and retails. Hundreds of trillions of € worth of contracts are relying on LIBOR. The day to day activities of interest rates risk in banking book is heavily linked to LIBOR. Regulator are still in progress to define possible replacement for LIBOR, this task raises several questions around treatments of basis risks. This change requires ALM functions to adjust their risk management framework to manager interest rates risk for both front book as well as the back book.    

Innovation in risk management is not anymore a ‘’Buzz’’ word only, innovative solutions can be used in different areas of risk management to get enhance control, identify and quantify both existing and emerging risks.

Roald Waaijer



Janneke Meis

Jr manager,


Santo Mukherji

senior audit manager for risk, model and capital methodologies

Lloyds Banking Group

Santo Mukherji is currently working as a Senior Audit Manager for Risk, Model and Capital Methodologies in Lloyds Banking Group. Santo has over 15 years experience in a wide variety of areas ranging from market risk, credit risk, model risk, regulatory risk & compliance, operational risk & governance, capital methodologies in organisations such as Jefferies, Deutsche Bank, HSBC, RBS, Bank of America, Santander. Santo has a BEng (first class) in Electrical Engineering; also an MSc in Management Science and Operational Research (with EPSRC scholarship) from Warwick Business School and MBA (with QS scholarship) from Cass Business School.