Interest Rate Risk in the Banking Book (2nd edition)
First published:
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Introduction to the First Edition
Introduction to the First Edition
Foreword
Introduction to the First Edition
Introduction to the Second Edition
An overview of banking
Relevant accounting and financial concepts
Fundamentals of interest rate risk and the banking book
Standard metrics for the identification and assessment of IRRBB
Managing and hedging IRRBB
Interest rate basis risk and Libor transition
Behavioural assumptions in the management of IRRBB
Non-dated liabilities
Other types of market risk
Reporting and the management process
IRRBB: Its links to the operating plan and stress testing
Regulatory requirements
Why write a book on interest rate risk in the banking book (IRRBB)? The principal reason is that, surprisingly, there seem so few books devoted to this subject. There are plenty of books on interest rate risk itself, but most tend to consider it from a trading or wholesale market-facing perspective and, as a result, focus principally on the mathematics of quantifying risk, the likelihood of its occurrence and the features of the more complex financial instruments that exist in the wholesale market. Such books are usually written by specialists, for specialists; unfortunately, the non-specialist reader without some background in mathematics will often find them difficult to understand, and in some cases they can serve more to obscure than to enlighten.
There are also, of course, many books on asset and liability management, most of which contain some reference to IRRBB, but their focus is generally on liquidity and capital management. This book therefore seeks to fill a perceived gap. While tackling a somewhat specialist subject matter, the book is also aimed at the non-specialist. Its prime intention is to give the reader an introduction to the basics whilst providing a broad
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