Interest Rate Risk in the Banking Book

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.

See also

• Banking book
• Basis risk
• Capital adequacy
• EVE
• Interest rate risk
• Interest rate gap
• Market risk
• MCRMR
• MRBB
• NII
• Pillar 2
• Option risk
• Shock
• Trading book
• Yield curve risk