{"product_id":"interest-rate-risk-in-the-banking-book-isbn-9781119755012","title":"Interest Rate Risk in the Banking Book","description":"\u003cp\u003e\u003cb\u003eIntroduces practical approaches for optimizing management and hedging of Interest Rate Risk in the Banking Book (IRRBB) driven by fast evolving regulatory landscape and market expectations.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e Interest rate risk in the banking book (IRRBB) gained its 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, away from ‘just’ a regulatory requirement to having an impact on the overall profitability of a financial institution. \u003ci\u003eInterest Rate Risk in the Banking Book\u003c\/i\u003e sheds light on the best practices for managing this importance 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 methodological approach and contents of ALCO report, IRRBB policy, ICAAP, Risk Appetite Statement (RAS) and model documentation. It is intended for the Treasury, Risk and Finance department 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.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eGain an updated understanding of the evolving regulatory landscape for IRRBB\u003c\/li\u003e \u003cli\u003eLearn 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\u003c\/li\u003e \u003cli\u003eExamine case studies illustrating key IRRBB exposures and their implications\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eWritten by London market risk expert Beata Lubinska, \u003ci\u003eInterest Rate Risk in the Banking Book\u003c\/i\u003e is the authoritative resource on this evolving topic.\u003c\/p\u003e \u003cp\u003ePreface vii\u003c\/p\u003e \u003cp\u003eAbout the Website viii\u003c\/p\u003e \u003cp\u003eIntroduction 1\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 What is IRRBB and why is it important? 6\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSubcategories of interest rate risk 8\u003c\/p\u003e \u003cp\u003eRegulatory overview for IRRBB – what has changed? 17\u003c\/p\u003e \u003cp\u003eECB 2017 IRRBB stress test 21\u003c\/p\u003e \u003cp\u003eInterest rate shocks 24\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 How to identify and measure Interest Rate Risk in the Banking Book 29\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIdentification of IRRBB – case studies of the exposure to IRRBB 29\u003c\/p\u003e \u003cp\u003eThe dual nature of IRRBB 44\u003c\/p\u003e \u003cp\u003eExposure to short-term\u003c\/p\u003e \u003cp\u003einterest rate risk – maturity gap analysis 45\u003c\/p\u003e \u003cp\u003eMaturity gap analysis from the economic value perspective 63\u003c\/p\u003e \u003cp\u003eTime bucket sensitivity analysis – PV01 68\u003c\/p\u003e \u003cp\u003eDuration gap analysis 69\u003c\/p\u003e \u003cp\u003eIRRBB metrics 73\u003c\/p\u003e \u003cp\u003eCredit Spread Risk in the Banking Book (CSRBB) 81\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 How to manage IRRBB 84\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHedging instruments for IRRBB 84\u003c\/p\u003e \u003cp\u003eWhy consider interest rate swaps? 98\u003c\/p\u003e \u003cp\u003eNatural hedging and hedging through derivatives 98\u003c\/p\u003e \u003cp\u003eHedging strategies 103\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Behaviouralisation of items without deterministic maturity and their impact on IRRBB 117\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe significance and impact of behavioural issues in the banking book 117\u003c\/p\u003e \u003cp\u003eThe reason for modelling CASA under IRRBB 118\u003c\/p\u003e \u003cp\u003eThe impact of early redemption of fixed rate assets on IRRBB 121\u003c\/p\u003e \u003cp\u003eBasic approaches for the modelling of NMDs 121\u003c\/p\u003e \u003cp\u003eBasic approaches for the modelling of statistical prepayment on the asset side 130\u003c\/p\u003e \u003cp\u003eModel risk 133\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Interest rate risk and asset liability management 136\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eManagement of IRRBB under strategic ALM – proactive management of IRRBB 136\u003c\/p\u003e \u003cp\u003eSetting up the \u003ci\u003etarget profile \u003c\/i\u003eand integrated management of liquidityand interest rate risk through the application of numerical optimisation technique 143\u003c\/p\u003e \u003cp\u003eSetting up the funding strategy for a bank taking into consideration  the hedging requirements 149\u003c\/p\u003e \u003cp\u003eIRRBB and funds transfer pricing 153\u003c\/p\u003e \u003cp\u003eComprehensive and feasible IRRBB strategy 171\u003c\/p\u003e \u003cp\u003eManagement of the intragroup interest rate risk 172\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 IRRBB stress test, reverse stress test and ICAAP 175\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIRRBB stress testing 175\u003c\/p\u003e \u003cp\u003eICAAP \u003cb\u003e– \u003c\/b\u003eassessment of the internal capital to cover IRRBB 185\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 IRRBB governance and framework 190\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eRisk Appetite Statement (RAS) 190\u003c\/p\u003e \u003cp\u003eAppendix 1: Example of IRRBB policy aligned with the requirements of BCBS Standards 197\u003c\/p\u003e \u003cp\u003eAppendix 2: Example of IRRBB model manual 211\u003c\/p\u003e \u003cp\u003eReferences 239\u003c\/p\u003e \u003cp\u003eIndex 241\u003c\/p\u003e \u003cp\u003e\u003cb\u003eBEATA LUBINSKA, PhD,\u003c\/b\u003e is a financial engineer with over 15 years of practical experience gained in international financial institutions such as GE Capital, Deloitte and Standard Chartered Bank based both in Milan and London. She is a Treasurer at Allica Bank focused on proactive management of financial risks and Balance Sheet Management, and a member of the BTRM Faculty founded by Professor Moorad Choudhry in London. She is the author of \u003ci\u003eAsset Liability Management Optimisation: A Practitioner's Guide to Balance Sheet Management and Remodelling,\u003c\/i\u003e also published by Wiley. Beata holds a PhD from Wroclaw University of Economics in Poland.\u003c\/p\u003e  \u003cp\u003e\u003ci\u003eInterest Rate Risk in the Banking Book: A Best Practice Guide to Management and Hedging\u003c\/i\u003e introduces practical approaches for optimizing management and hedging of Interest Rate Risk in the Banking Book (IRRBB) driven by fast evolving regulatory landscape and market expectations.\u003c\/p\u003e \u003cp\u003eInterest rate risk in the banking book (IRRBB) gained its importance through the regulatory requirements that have been growing and guiding the banking industry in recent years. The importance of IRRBB is shifting for banks, away from ‘just’ a regulatory requirement to having an impact on the overall profitability of a financial institution.\u003ci\u003e Interest Rate Risk in the Banking Book\u003c\/i\u003e 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 methodological approach and contents of ALCO report, IRRBB policy, ICAAP, Risk Appetite Statement (RAS) and model documentation. It is intended for the Treasury, Risk and Finance department 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. \u003c\/p\u003e\u003cul\u003e\n\u003cli\u003eGain an updated understanding of the evolving regulatory landscape for IRRBB\u003c\/li\u003e \u003cli\u003eLearn to apply maturity gap analysis, sensitivity analysis, and the hedging strategy in banking contexts\u003c\/li\u003e \u003cli\u003eUnderstand how customer behavior impacts interest rate risk and how to manage the consequences\u003c\/li\u003e \u003cli\u003eExamine case studies illustrating key IRRBB exposures and their implications\u003c\/li\u003e\n\u003c\/ul\u003e \u003cp\u003eWritten by market risk expert Beata Lubinska, \u003ci\u003eInterest Rate Risk in the Banking Book\u003c\/i\u003e is the authoritative resource on this evolving topic.  \u003c\/p\u003e\u003cp\u003e\u003cb\u003ePraise for INTEREST RATE RISK IN THE BANKING BOOK\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\"Beata Lubinska has written this book with the clear objective of providing a practical hands-on reference on IRRBB. Professionals in the field will certainly find it an indispensable aid for their day-to-day work.\"\u003cbr\u003e\u003cb\u003e—Juan Ramirez, \u003c\/b\u003eauthor of\u003ci\u003e Handbook of Basel III Capital: Enhancing Bank Capital in Practice\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\"Beata is a leading technical authority on IRRBB and Asset Liability Management and this book presents topical, practical advice to practitioners in this space. I am certain that IRRBB professionals, students and enthusiasts will find it an informative and rewarding read.\"\u003cbr\u003e\u003cb\u003e—Khanna Vishwas,\u003c\/b\u003e Partner, Avantage Replay, London\u003c\/p\u003e \u003cp\u003e\"What makes the difference between winners and losers in the highly competitive global commercial banking markets, especially in the current times marked by zero to negative central bank deposit rates in the OECD? Dr. Beata Lubinska’s book \u003ci\u003eInterest Rate Risk in the Banking Book\u003c\/i\u003e provides a superb analysis of the best banking practices via real world illustrations on the subject. Dr. Lubinska strikes a perfect balance between academic rigor and implementable methods for those commercial banks faced with the challenges aligned with IRRBB management and regulatory compliance. A must-read for all practitioners striving to achieve excellence in banking books management.\"\u003cbr\u003e\u003cb\u003e—Andre Horovitz,\u003c\/b\u003e Managing Director, financial risk fitness GmbH\u003c\/p\u003e \u003cp\u003e\"The most unique thing about Beata and her books is they are very practical and applicable in any context regardless of which geography one belongs to. I have truly gained valuable insights from this book on the importance of IRRBB in managing balance sheet risk in an efficient and cost-effective way. A highly recommended read for Treasury and capital market professionals and a great book in general for everyone.\"\u003cbr\u003e\u003cb\u003e—Abbas Al Lawati,\u003c\/b\u003e Sr. VP \u0026amp; Head of Treasury (Islamic) – Sohar International Bank\u003c\/p\u003e \u003cp\u003e\"The highlight of this book is its practical approach on model development by professionals rather than depending on external consultants. \u003ci\u003eInterest Rate Risk in the Banking Book\u003c\/i\u003e is the ultimate banker’s guide written by a subject matter expert, treasury head and a strong academician Dr. Beata Lubinska. The book is a must-read reference for all practising bankers, risk management experts, audit professionals, and C-level executives in banking.\"\u003cbr\u003e\u003cb\u003e—Harish Nair,\u003c\/b\u003e Senior Vice President, DBS Bank India\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989443231973,"sku":"NP9781119755012","price":94.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781119755012.jpg?v=1761784118","url":"https:\/\/k12savings.com\/es\/products\/interest-rate-risk-in-the-banking-book-isbn-9781119755012","provider":"K12savings","version":"1.0","type":"link"}