Interest Rate Risk in the Banking Book

Also referred to by some as interest rate risk in the non-trading book, and a key item for Pillar 2 analysis in all ICAAPs, IRRBB comes under increasing regulatory focus. We fashion policies, processes and models designed to demonstrate that the core elements of IRRBB – yield curve risk, basis risk, optionality and repricing – have been rigorously assessed and, where material to the institution stressed in severe but plausible scenarios.  We will also measure the potential effects of yield curve risk on the bank’s net interest income (NII) and the economic value of its equity (EVE).

Optionally this can be made easier and more transparent by the use of the IRRBB functionality in our class-leading stress-testing and ALM system, K-ALM.   Do contact us to find out more.

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