IRRBB

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Revision as of 16:07, 30 October 2016 by imported>Doug Williamson (Expand.)
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Bank supervision - capital adequacy.

Interest Rate Risk in the Banking Book.

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.


See also