Interest Rate Risk in the Banking Book (2nd edition)
First published:
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Foreword
Colin Johnson
Foreword
Foreword
Introduction to the First Edition
Introduction to the Second Edition
An overview of banking
Relevant accounting and financial concepts
Fundamentals of interest rate risk and the banking book
Standard metrics for the identification and assessment of IRRBB
Managing and hedging IRRBB
Interest rate basis risk and Libor transition
Behavioural assumptions in the management of IRRBB
Non-dated liabilities
Other types of market risk
Reporting and the management process
IRRBB: Its links to the operating plan and stress testing
Regulatory requirements
Since the global financial crisis and the subsequent recession, “how to” publications on banking, the regulatory environment, transformation of the industry and lessons from the past have become commonplace. If you worked in the industry at the time, the lessons learned will be etched into your consciousness. Although it may not have felt like a positive thing at the time, hopefully on reflection like me you will value the experience of what must have been the most exciting and interesting time to be part of the banking landscape.
The spotlight on the banking industry has mostly been on liquidity, capital, conduct and regulatory scrutiny, which incidentally are all now terms acknowledged, if not understood, by the population at large. However, the external coverage or documentation around managing the complexity of interest rate risk in the banking book (IRRBB) has remained largely unexplored. For many, IRRBB has been considered the poor relation, both compared to “trading” but also in the overall banking asset and liability management framework.
In this new and important book, Paul Newson fully explores IRRBB, taking the reader on that journey to understanding and
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