Principles of the Basel IRRBB Regulation

Principles of the Basel IRRBB Regulation

In Part I, Moorad introduced the concept of interest rate risk in the banking book, or IRRBB. In this second part, Moorad discusses the regulatory principles that all banks, operating under a Basel III regime or equivalent, follow.
Overview

The Basel Committee set 12 Principles in which to regulate IRRBB. The first 9 are meant to regulate banks’ non-trading activities. Principles 10-12 focus on a supervisory approach to banks.

Key learning objectives:

  • Analyse the 12 Principles of IRRBB regulation set by Basel III

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