Interest Rate Risk in the Banking Book (2nd edition)
First published:
If you are a Risk.net subscriber you are entitled to 20% off your Risk books purchases. Please email enquiries@riskbooks.com for more information.
As part of your Risk.net subscription you are entitled to 20% off all of your Risk Books purchases. If you would like to place an order please email enquiries@riskbooks.com
Introduction to the Second Edition
Introduction to the Second Edition
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 2017, the world of interest rate risk has witnessed a number of developments that now merit some revision and update to the first edition. Probably most obvious has been the decision by regulators to phase out, from 2021, Libor and its equivalents, and replace them with overnight benchmarks such as the Sterling Overnight Index Average (Sonia) in the UK and the secured overnight funding rate (SOFR) in the US. This does not materially alter the fundamentals of IRRBB, but has necessitated considerable reworking of certain portions of the text, particularly those with numerical examples that used Libor as the risk-free benchmark rate. In addition, a new section has been added on Libor transition itself: while the immediate practical challenges this poses to banks will shortly become “history”, the story of the demise of Libor should continue to be relevant for an understanding of what a risk-free rate actually is.
The chapter on regulation has also been significantly updated. The 2016 Basel Standards on IRRBB are finally being implemented – largely in their entirety – by most national regulators, with the noticeable exception (so far) of the US. The issue is now not so much
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
