Interest rate risk in the banking book - Bank for International …
Apr 21, 2016 · The Basel Committee on Banking Supervision has today issued standards for Interest Rate Risk in the Banking Book (IRRBB). The standards revise the Committee's 2004 Principles for the management and supervision of interest rate risk, which set out supervisory expectations for banks' identification, measurement, monitoring and control of IRRBB as ...
IRRBB refers to the current or prospective risk to the bank’s capital and earnings arising from adverse movements in interest rates that affect the bank’s banking book positions. When interest rates change, the present value and timing of future cash flows change.
A comprehensive guide to Interest Rate Risk in the Banking Book ... - PwC
Aug 5, 2024 · The Interest Rate Risk in the Banking Book (IRRBB) framework helps banks manage risks from interest rate changes. It includes regulatory reporting via standardised templates for transparency and comparability.
Basel Framework - Bank for International Settlements
Dec 15, 2019 · This chapter describes requirements on assessing interest rate risk in the banking book, ie the current or prospective risk to a bank's capital and to its earnings, arising from the impact of adverse movements in interest rates on its banking book.
Interest Rate Risk in the Banking Book - Risk Books
With a new section on Libor transition and thorough updates on the regulatory material, the second edition offers more guidance to the regulatory requirements surrounding interest rate risk in the banking book (IRRBB) and demonstrates the importance of good governance.
Interest rate risk in the banking book or IRRBB—as defined by the Basel Committee—is the “current or prospective risk to a bank’s capital and earnings, arising from adverse movements in interest rates that affect the bank’s banking book positions.” Inadequate measurement, management, and control of IRRBB could
Interest rate risk in banking book (IRRBB) refers to the current or prospective risk to a bank’s capital and earnings arising from adverse movements in interest rates that affect banking book positions. When interest rates change, the present value and timing of future cash flows change.
Nov 2, 2022 · Introduces practical approaches for optimizing management and hedging of Interest Rate Risk in the Banking Book (IRRBB) driven by fast evolving regulatory landscape and market expectations.
Interest Rate Risk in the Banking Book - Google Books
Nov 1, 2021 · Learn to apply maturity gap analysis, sensitivity analysis, and the hedging strategy in banking contexts • Understand how customer behavior impacts interest rate risk and how to manage the...
Interest Rate Risk in the Banking Book (IRRBB): Meeting the Practical Challenges Highlights » The new Basel Committee on Banking Supervision (BCBS) standards for IRRBB come into force January 1, 2018. This paper looks at the standards from a practical implementation point of view and raises some of the main challenges.