BEATA LUBINSKA, PhD, 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 Asset Liability Management Optimisation: A Practitioner's Guide to Balance Sheet Management and Remodelling, also published by Wiley. Beata holds a PhD from Wroclaw University of Economics in Poland.

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• Preface viiAbout the Website viiiIntroduction 1Chapter 1 What is IRRBB and why is it important? 6Subcategories of interest rate risk 8Regulatory overview for IRRBB – what has changed? 17ECB 2017 IRRBB stress test 21Interest rate shocks 24Chapter 2 How to identify and measure Interest Rate Risk in the Banking Book 29Identification of IRRBB – case studies of the exposure to IRRBB 29The dual nature of IRRBB 44Exposure to short-terminterest rate risk – maturity gap analysis 45Maturity gap analysis from the economic value perspective 63Time bucket sensitivity analysis – PV01 68Duration gap analysis 69IRRBB metrics 73Credit Spread Risk in the Banking Book (CSRBB) 81Chapter 3 How to manage IRRBB 84Hedging instruments for IRRBB 84Why consider interest rate swaps? 98Natural hedging and hedging through derivatives 98Hedging strategies 103Chapter 4 Behaviouralisation of items without deterministic maturity and their impact on IRRBB 117The significance and impact of behavioural issues in the banking book 117The reason for modelling CASA under IRRBB 118The impact of early redemption of fixed rate assets on IRRBB 121Basic approaches for the modelling of NMDs 121Basic approaches for the modelling of statistical prepayment on the asset side 130Model risk 133Chapter 5 Interest rate risk and asset liability management 136Management of IRRBB under strategic ALM – proactive management of IRRBB 136Setting up the target profile and integrated management of liquidityand interest rate risk through the application of numerical optimisation technique 143Setting up the funding strategy for a bank taking into consideration  the hedging requirements 149IRRBB and funds transfer pricing 153Comprehensive and feasible IRRBB strategy 171Management of the intragroup interest rate risk 172Chapter 6 IRRBB stress test, reverse stress test and ICAAP 175IRRBB stress testing 175ICAAP – assessment of the internal capital to cover IRRBB 185Chapter 7 IRRBB governance and framework 190Risk Appetite Statement (RAS) 190Appendix 1: Example of IRRBB policy aligned with the requirements of BCBS Standards 197Appendix 2: Example of IRRBB model manual 211References 239Index 241

BEATA LUBINSKA, PhD, 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 Asset Liability Management Optimisation: A Practitioner's Guide to Balance Sheet Management and Remodelling, also published by Wiley. Beata holds a PhD from Wroclaw University of Economics in Poland.

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• Preface viiAbout the Website viiiIntroduction 1Chapter 1 What is IRRBB and why is it important? 6Subcategories of interest rate risk 8Regulatory overview for IRRBB – what has changed? 17ECB 2017 IRRBB stress test 21Interest rate shocks 24Chapter 2 How to identify and measure Interest Rate Risk in the Banking Book 29Identification of IRRBB – case studies of the exposure to IRRBB 29The dual nature of IRRBB 44Exposure to short-terminterest rate risk – maturity gap analysis 45Maturity gap analysis from the economic value perspective 63Time bucket sensitivity analysis – PV01 68Duration gap analysis 69IRRBB metrics 73Credit Spread Risk in the Banking Book (CSRBB) 81Chapter 3 How to manage IRRBB 84Hedging instruments for IRRBB 84Why consider interest rate swaps? 98Natural hedging and hedging through derivatives 98Hedging strategies 103Chapter 4 Behaviouralisation of items without deterministic maturity and their impact on IRRBB 117The significance and impact of behavioural issues in the banking book 117The reason for modelling CASA under IRRBB 118The impact of early redemption of fixed rate assets on IRRBB 121Basic approaches for the modelling of NMDs 121Basic approaches for the modelling of statistical prepayment on the asset side 130Model risk 133Chapter 5 Interest rate risk and asset liability management 136Management of IRRBB under strategic ALM – proactive management of IRRBB 136Setting up the target profile and integrated management of liquidityand interest rate risk through the application of numerical optimisation technique 143Setting up the funding strategy for a bank taking into consideration  the hedging requirements 149IRRBB and funds transfer pricing 153Comprehensive and feasible IRRBB strategy 171Management of the intragroup interest rate risk 172Chapter 6 IRRBB stress test, reverse stress test and ICAAP 175IRRBB stress testing 175ICAAP – assessment of the internal capital to cover IRRBB 185Chapter 7 IRRBB governance and framework 190Risk Appetite Statement (RAS) 190Appendix 1: Example of IRRBB policy aligned with the requirements of BCBS Standards 197Appendix 2: Example of IRRBB model manual 211References 239Index 241

BEATA LUBINSKA, PhD, 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 Asset Liability Management Optimisation: A Practitioner's Guide to Balance Sheet Management and Remodelling, also published by Wiley. Beata holds a PhD from Wroclaw University of Economics in Poland.

Select Guide Rating

• Preface viiAbout the Website viiiIntroduction 1Chapter 1 What is IRRBB and why is it important? 6Subcategories of interest rate risk 8Regulatory overview for IRRBB – what has changed? 17ECB 2017 IRRBB stress test 21Interest rate shocks 24Chapter 2 How to identify and measure Interest Rate Risk in the Banking Book 29Identification of IRRBB – case studies of the exposure to IRRBB 29The dual nature of IRRBB 44Exposure to short-terminterest rate risk – maturity gap analysis 45Maturity gap analysis from the economic value perspective 63Time bucket sensitivity analysis – PV01 68Duration gap analysis 69IRRBB metrics 73Credit Spread Risk in the Banking Book (CSRBB) 81Chapter 3 How to manage IRRBB 84Hedging instruments for IRRBB 84Why consider interest rate swaps? 98Natural hedging and hedging through derivatives 98Hedging strategies 103Chapter 4 Behaviouralisation of items without deterministic maturity and their impact on IRRBB 117The significance and impact of behavioural issues in the banking book 117The reason for modelling CASA under IRRBB 118The impact of early redemption of fixed rate assets on IRRBB 121Basic approaches for the modelling of NMDs 121Basic approaches for the modelling of statistical prepayment on the asset side 130Model risk 133Chapter 5 Interest rate risk and asset liability management 136Management of IRRBB under strategic ALM – proactive management of IRRBB 136Setting up the target profile and integrated management of liquidityand interest rate risk through the application of numerical optimisation technique 143Setting up the funding strategy for a bank taking into consideration  the hedging requirements 149IRRBB and funds transfer pricing 153Comprehensive and feasible IRRBB strategy 171Management of the intragroup interest rate risk 172Chapter 6 IRRBB stress test, reverse stress test and ICAAP 175IRRBB stress testing 175ICAAP – assessment of the internal capital to cover IRRBB 185Chapter 7 IRRBB governance and framework 190Risk Appetite Statement (RAS) 190Appendix 1: Example of IRRBB policy aligned with the requirements of BCBS Standards 197Appendix 2: Example of IRRBB model manual 211References 239Index 241