Interest rate risk in the banking book, or IRRBB, is the risk associated with interest rates on a bank’s accrual based book. These risks can take the form of gap risk, optionality, yield curve risk or basis risk. These risks must be effectively managed as they may impact net income and economic value.
Key learning objectives:
Define IRRBB
Understand the forms of interest rate risk
Gain an understanding of the Interest Rate Gap Report