Net Interest Income Sensitivity & EVE
In Part III of this series, Moorad covers the practical issues concerned with managing the Interest Rate Risk Banking Book, or IRRBB. He covers topics including the treatment of variable rate financial products, Net Interest Income (NII) sensitivity and interest rate shock scenarios.
Overview
Different types of products are treated differently using methods previously discussed to measure IRRBB. Sensitivity models and economic valuations are analysed to accurately portray a banks’ exposure to IRRBB.
Key learning objectives:
Understand the differing treatment of financial products
Interpret sensitivity analyses for Net Interest Income and Economic Value of Equity
Summary
Expert
Moorad Choudhry
Former senior banker with almost 30 years experience. Moorad has held senior roles in commerical, investment and retail banking. He has also spent the last five years as a visiting professor.
