Interest Rate Risk in the Banking Book

Preface vii

About the Website viii

Introduction 1

Chapter 1 What is IRRBB and why is it important? 6

Subcategories of interest rate risk 8

Regulatory overview for IRRBB – what has changed? 17

ECB 2017 IRRBB stress test 21

Interest rate shocks 24

Chapter 2 How to identify and measure Interest Rate Risk in the Banking Book 29...