Interest Rate Risk in the Banking Book: A Best Practice Guide to Management and Hedging (Wiley Finance) 1st Edition



Introduces practical approaches for optimizing management and hedging of interest rate risk in the banking book (IRRBB), driven by the fast-evolving regulatory landscape and market expectations.

Interest rate risk in the banking book (IRRBB) gained importance through the regulatory requirements that have been growing and guiding the banking industry for the last couple of years. The importance of IRRBB is shifting for banks, from ‘just’ a regulatory requirement to having an impact on the overall profitability of a financial institution. Interest Rate Risk in the Banking Book sheds light on the best practices for managing this important risk category and provides detailed analysis of the hedging strategies, practical examples, and case studies based on the author’s experience. This handbook is rich in practical insights on the methodological approach and contents of the ALCO report, IRRBB policy, ICAAP, Risk Appetite Statement (RAS), and model documentation. It is intended for the Treasury, Risk, and Finance departments and is helpful in improving and optimizing their IRRBB framework and strategy. By the end of this IRRBB journey, the reader will be equipped with all the necessary tools to build a proactive and compliant framework within a financial institution.

  • Gain an updated understanding of the evolving regulatory landscape for IRRBB
  • Learn to apply maturity gap analysis, sensitivity analysis, and the hedging strategy in banking contexts • Understand how customer behavior impacts interest rate risk and how to manage the consequences
  • Examine case studies illustrating key IRRBB exposures and their implications

Written by London market risk expert Beata Lubinska, Interest Rate Risk in the Banking Book is the authoritative resource on this evolving topic.

Product details

  • ASIN ‏ : ‎ B09KBK4NLM
  • Publisher ‏ : ‎ Wiley; 1st edition (October 15, 2021)
  • Publication date ‏ : ‎ October 15, 2021
  • Language ‏ : ‎ English
  • File size ‏ : ‎ 11003 KB
  • Text-to-Speech ‏ : ‎ Enabled
  • Enhanced typesetting ‏ : ‎ Enabled
  • X-Ray ‏ : ‎ Not Enabled
  • Word Wise ‏ : ‎ Enabled
  • Sticky notes ‏ : ‎ Not Enabled
  • Print length ‏ : ‎ 253 pages
  • Page numbers source ISBN ‏ : ‎ 1119755018


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