// definition
IRRBB
Interest rate risk in the banking book
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Short definition
The risk that adverse interest-rate changes affect capital or earnings in the banking book. Measurement uses complementary measures of economic value and expected earnings, each with its own horizon and modelling assumptions.
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Knowledge map
Intuition
A hedge that stabilises near-term income can leave longer-term economic value exposed.
Related analyses
- Government debt is catching up with Europe’s banksBond prices, collateral, funding and Deutsche Bank scenarios.
Primary sources
- Basel Committee, SRP98Definition §98.1; complementary measures §§98.17-98.22.