IRRBB
Interest Rate Risk in the Banking Book
Definition
The risk arising from changes in interest rates that affect the economic value and net interest income of a bank's banking book positions. IRRBB standards require banks to measure, monitor, and control this risk using prescribed shock scenarios and outlier tests.
Regulatory Context
The Basel Committee updated its IRRBB standards in 2016, and the EBA has issued guidelines on IRRBB and credit spread risk in the banking book (CSRBB). The 2023 banking stress highlighted the importance of IRRBB management following the collapse of Silicon Valley Bank.