It generally arises from repricing risk, risks related to the timing mismatch in the maturity and repricing of assets and liabilities and off. Whitepaper interest rate risk in the banking book irrbb. Interest rate risk in the banking book irrbb irrbb overview interest rate risk in the banking book irrbb is the risk to earnings or capital arising from movement of interest rates. What is interest rate risk in the banking book irrbb.
Director, interest rate risk in the banking book, business support and analysis team team the individual will work in interest rate risk irr team within citis corporate treasury. Standards on the interest risk in the banking book irrbb. Any changes in interest rates have an impact on the present value of future cash flows on the bank. Interest rate risk in the banking book over the past decade the basel committee on banking supervision the basel committee has released a number of consultative documents discussing the management and supervision of the interest rate risk inherent in a bank s balance sheet1. Interest rate risk in the banking book irrbb is the risk to earnings or value and in turn. The standards revise the committees 2004 principles for the management and supervision of interest rate risk, which set out supervisory expectations for banks identification, measurement, monitoring and control of irrbb as well as its supervision. Interest rate risk in the banking book irrbb is the risk to earnings or value and in turn to capital arising from movements of interest rates that affect banking book positions. The interest rate risk in banking book refers to the risk to a bank s capital and earnings arising from adverse movements in interest rates that affect banking book positions.