Interest Rate Risk in the Banking Book
From the Inside Flap
Interest Rate Risk in the Banking Book: A Best Practice Guide to Management and Hedging introduces practical approaches for optimizing management and hedging of Interest Rate Risk in the Banking Book (IRRBB) driven by fast evolving regulatory landscape and market expectations.
Interest rate risk in the banking book (IRRBB) gained its importance through the regulatory requirements that have been growing and guiding the banking industry in recent years. The importance of IRRBB is shifting for banks, away from ‘just’ a regulatory requirement to having an impact on the overall profitability of a financial institution. Interest Rate Risk in the Banking Book sheds light on the best practices for managing this important risk category and provides detailed analysis of the hedging strategies, practical examples, and case studies based on the author’s experience. This handbook is rich in practical insights on methodological approach and contents of ALCO report, IRRBB policy, ICAAP, Risk Appetite Statement (RAS) and model documentation. It is intended for the Treasury, Risk and Finance department and is helpful in improving and optimizing their IRRBB framework and strategy. By the end of this IRRBB journey, the reader will be equipped with all the necessary tools to build a proactive and compliant framework within a financial institution.
- Gain an updated understanding of the evolving regulatory landscape for IRRBB
- Learn to apply maturity gap analysis, sensitivity analysis, and the hedging strategy in banking contexts
- Understand how customer behavior impacts interest rate risk and how to manage the consequences
- Examine case studies illustrating key IRRBB exposures and their implications
Written by market risk expert Beata Lubinska, Interest Rate Risk in the Banking Book is the authoritative resource on this evolving topic.
From the Back Cover
Praise for INTEREST RATE RISK IN THE BANKING BOOK
“Beata Lubinska has written this book with the clear objective of providing a practical hands-on reference on IRRBB. Professionals in the field will certainly find it an indispensable aid for their day-to-day work.”
―Juan Ramirez, author of Handbook of Basel III Capital: Enhancing Bank Capital in Practice
“Beata is a leading technical authority on IRRBB and Asset Liability Management and this book presents topical, practical advice to practitioners in this space. I am certain that IRRBB professionals, students and enthusiasts will find it an informative and rewarding read.”
―Khanna Vishwas, Partner, Avantage Replay, London
“What makes the difference between winners and losers in the highly competitive global commercial banking markets, especially in the current times marked by zero to negative central bank deposit rates in the OECD? Dr. Beata Lubinska’s book Interest Rate Risk in the Banking Book provides a superb analysis of the best banking practices via real world illustrations on the subject. Dr. Lubinska strikes a perfect balance between academic rigor and implementable methods for those commercial banks faced with the challenges aligned with IRRBB management and regulatory compliance. A must-read for all practitioners striving to achieve excellence in banking books management.”
―Andre Horovitz, Managing Director, financial risk fitness GmbH
“The most unique thing about Beata and her books is they are very practical and applicable in any context regardless of which geography one belongs to. I have truly gained valuable insights from this book on the importance of IRRBB in managing balance sheet risk in an efficient and cost-effective way. A highly recommended read for Treasury and capital market professionals and a great book in general for everyone.”
―Abbas Al Lawati, Sr. VP & Head of Treasury (Islamic) – Sohar International Bank
“The highlight of this book is its practical approach on model development by professionals rather than depending on external consultants. Interest Rate Risk in the Banking Book is the ultimate banker’s guide written by a subject matter expert, treasury head and a strong academician Dr. Beata Lubinska. The book is a must-read reference for all practising bankers, risk management experts, audit professionals, and C-level executives in banking.”
―Harish Nair, Senior Vice President, DBS Bank India
About the Author
BEATA LUBINSKA, PhD, is a financial engineer with over 15 years of practical experience gained in international financial institutions such as GE Capital, Deloitte and Standard Chartered Bank based both in Milan and London. She is a Treasurer at Allica Bank focused on proactive management of financial risks and Balance Sheet Management, and a member of the BTRM Faculty founded by Professor Moorad Choudhry in London. She is the author of Asset Liability Management Optimisation: A Practitioner’s Guide to Balance Sheet Management and Remodelling, also published by Wiley. Beata holds a PhD from Wroclaw University of Economics in Poland.
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