The Interest Rate Risk in the Banking Book (IRRBB)is one of the many regulatory frameworks that financial institutions must put into practice in the months and years ahead.
What makes it so important is that the finalized Basel III standard encompasses much spectrum of risks that banks face.
Defining the interconnections between IRRBB and liquidity management
Defining approach to behavioral modelling
Searching for the interactions between different sources of risk
Defining scenarios for Static as well as projected and stressed balance sheet
Managing liquidity buffer – integrated approach or independent management
Support banks to arrive at credit spread cost using statistical techniques