Interest Rate Risk in the Banking Book: Difference between revisions
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IRRBB is treated by most regulators as a Pillar 2 risk. | IRRBB is treated by most regulators worldwide as a Pillar 2 risk. | ||
Revision as of 08:00, 13 November 2016
Bank supervision - capital adequacy
(IRRBB).
IRRBB deals with the risks associated with a change in interest rates, and affecting a bank's banking book, as opposed to its trading book.
IRRBB includes potentially adverse effects on earnings, capital, or both.
Sources of IRRBB include interest rate gaps, basis risk, yield curve risk and option risk.
IRRBB is treated by most regulators worldwide as a Pillar 2 risk.
