IRRBB has always been the material risk for banks focused on the lending activities. Banks currently use variety of techniques to measure and manage IRRBB such as repricing gaps, earnings approach, EVE approach &complex simulations under range of interest rate risk scenarios.It is an important aspect of Pillar II/ICAAP, Stress testing & Pillar III guidelines. Regulators realize the significance of this risk and intend to make it part of Pillar 1 risks. However they are yet to reach an agreement over a standardized method for its measurements. Our services include:
- Development or Review of IRRBB framework including policy, measurement methodologies, stress scenarios and risk appetite.
- Development of customized toolkit (tactical solution)