Managing Interest Rate Risk in the Banking Book 2017

Establish effective governance of the IRRBB in relation to recent regulatory developments

Key Topics
-Benchmark governance processes of the IRRBB with other banks with particular focus on stress testing
-Understand how banks are developing behavioural models under the IRRBB’s shock scenarios
-Examine regulatory updates impacting the IRRBB particularly from the EBA
-Asses how the IRRBB will support banks in becoming more robust towards interest rate risk
-Define the boundary between the banking and trading book