Interest Rate Risk in the Banking Book

From ACT Wiki
Jump to navigationJump to search
The printable version is no longer supported and may have rendering errors. Please update your browser bookmarks and please use the default browser print function instead.

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

Retrieved from ‘https://wiki.treasurers.org/w/index.php?title=Interest_Rate_Risk_in_the_Banking_Book&oldid=27666’