How Europe can fix the Basel IRRBB standards

Building an outlier test for interest income would be better than the standardised EVE approach

Photo of money and tools

Paul Newson is the former head of non-traded market risk at Lloyds Banking Group and author of Interest Rate Risk in the Banking Book, published this month by Risk Books.

In April, highlighted fears that the European Central Bank (ECB) might be trying to sneak in a de facto Pillar 1 capital charge for interest rate risk in the banking book (IRRBB) on the back of the current round of stress-testing capital assessments.

To be fair to the ECB, the only thing they are prescribing is the

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

Digging deeper into deep hedging

Dynamic techniques and gen-AI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here