Derivative and Interest Rate Risk in the Banking Book: Difference between pages

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# Abbreviation for derivative financial instrument.
''Bank supervision - capital adequacy.''
# ''Maths''.  A derivative function describes the rate of change of the underlying function, with respect to changes in one of the variables in the underlying function.


::: The first derivative describes the slope of the function curve at a given point on the curve.
(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 as a Pillar 2 risk.


::: The second derivative describes the rate of change of the slope.  In other words the degree of curvature, at a given point.


== See also ==
== See also ==
* [[Derivative instrument]]
* [[Banking book]]
* [[Embedded derivative]]
* [[Basis risk]]
* [[Greeks]]
* [[Capital adequacy]]
* [[EVE]]
* [[Interest rate risk]]
* [[Interest rate gap]]
* [[Market risk]]
* [[MCRMR]]
* [[MRBB]]
* [[NII]]
* [[Pillar 2]]
* [[Option risk]]
* [[Shock]]
* [[Trading book]]
* [[Yield curve risk]]

Revision as of 13:28, 11 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 as a Pillar 2 risk.


See also