Interest Rate Risk in the Banking Book

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Bank supervision - capital adequacy


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