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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
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
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.
Preface vii
About the Website viii
Introduction 1
Chapter 1 What is IRRBB and why is it important? 6
Subcategories of interest rate risk 8
Regulatory overview for IRRBB - what has changed? 17
ECB 2017 IRRBB stress test 21
Interest rate shocks 24
Chapter 2 How to identify and measure Interest Rate Risk in the Banking Book 29
Identification of IRRBB - case studies of the exposure to IRRBB 29
The dual nature of IRRBB 44
Exposure to short-term
interest rate risk - maturity gap analysis 45
Maturity gap analysis from the economic value perspective 63
Time bucket sensitivity analysis - PV01 68
Duration gap analysis 69
IRRBB metrics 73
Credit Spread Risk in the Banking Book (CSRBB) 81
Chapter 3 How to manage IRRBB 84
Hedging instruments for IRRBB 84
Why consider interest rate swaps? 98
Natural hedging and hedging through derivatives 98
Hedging strategies 103
Chapter 4 Behaviouralisation of items without deterministic maturity and their impact on IRRBB 117
The significance and impact of behavioural issues in the banking book 117
The reason for modelling CASA under IRRBB 118
The impact of early redemption of fixed rate assets on IRRBB 121
Basic approaches for the modelling of NMDs 121
Basic approaches for the modelling of statistical prepayment on the asset side 130
Model risk 133
Chapter 5 Interest rate risk and asset liability management 136
Management of IRRBB under strategic ALM - proactive management of IRRBB 136
Setting up the target profile and integrated management of liquidityand interest rate risk through the application of numerical optimisation technique 143
Setting up the funding strategy for a bank taking into consideration the hedging requirements 149
IRRBB and funds transfer pricing 153
Comprehensive and feasible IRRBB strategy 171
Management of the intragroup interest rate risk 172
Chapter 6 IRRBB stress test, reverse stress test and ICAAP 175
IRRBB stress testing 175
ICAAP - assessment of the internal capital to cover IRRBB 185
Chapter 7 IRRBB governance and framework 190
Risk Appetite Statement (RAS) 190
Appendix 1: Example of IRRBB policy aligned with the requirements of BCBS Standards 197
Appendix 2: Example of IRRBB model manual 211
References 239
Index 241
| Erscheinungsjahr: | 2021 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Importe, Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 256 S. |
| ISBN-13: | 9781119755012 |
| ISBN-10: | 1119755018 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Lubinska, Beata |
| Hersteller: | Wiley |
| Verantwortliche Person für die EU: | Wiley-VCH GmbH, Boschstr. 12, D-69469 Weinheim, amartine@wiley-vch.de |
| Maße: | 247 x 172 x 20 mm |
| Von/Mit: | Beata Lubinska |
| Erscheinungsdatum: | 01.11.2021 |
| Gewicht: | 0,632 kg |
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.
Preface vii
About the Website viii
Introduction 1
Chapter 1 What is IRRBB and why is it important? 6
Subcategories of interest rate risk 8
Regulatory overview for IRRBB - what has changed? 17
ECB 2017 IRRBB stress test 21
Interest rate shocks 24
Chapter 2 How to identify and measure Interest Rate Risk in the Banking Book 29
Identification of IRRBB - case studies of the exposure to IRRBB 29
The dual nature of IRRBB 44
Exposure to short-term
interest rate risk - maturity gap analysis 45
Maturity gap analysis from the economic value perspective 63
Time bucket sensitivity analysis - PV01 68
Duration gap analysis 69
IRRBB metrics 73
Credit Spread Risk in the Banking Book (CSRBB) 81
Chapter 3 How to manage IRRBB 84
Hedging instruments for IRRBB 84
Why consider interest rate swaps? 98
Natural hedging and hedging through derivatives 98
Hedging strategies 103
Chapter 4 Behaviouralisation of items without deterministic maturity and their impact on IRRBB 117
The significance and impact of behavioural issues in the banking book 117
The reason for modelling CASA under IRRBB 118
The impact of early redemption of fixed rate assets on IRRBB 121
Basic approaches for the modelling of NMDs 121
Basic approaches for the modelling of statistical prepayment on the asset side 130
Model risk 133
Chapter 5 Interest rate risk and asset liability management 136
Management of IRRBB under strategic ALM - proactive management of IRRBB 136
Setting up the target profile and integrated management of liquidityand interest rate risk through the application of numerical optimisation technique 143
Setting up the funding strategy for a bank taking into consideration the hedging requirements 149
IRRBB and funds transfer pricing 153
Comprehensive and feasible IRRBB strategy 171
Management of the intragroup interest rate risk 172
Chapter 6 IRRBB stress test, reverse stress test and ICAAP 175
IRRBB stress testing 175
ICAAP - assessment of the internal capital to cover IRRBB 185
Chapter 7 IRRBB governance and framework 190
Risk Appetite Statement (RAS) 190
Appendix 1: Example of IRRBB policy aligned with the requirements of BCBS Standards 197
Appendix 2: Example of IRRBB model manual 211
References 239
Index 241
| Erscheinungsjahr: | 2021 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Importe, Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 256 S. |
| ISBN-13: | 9781119755012 |
| ISBN-10: | 1119755018 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Lubinska, Beata |
| Hersteller: | Wiley |
| Verantwortliche Person für die EU: | Wiley-VCH GmbH, Boschstr. 12, D-69469 Weinheim, amartine@wiley-vch.de |
| Maße: | 247 x 172 x 20 mm |
| Von/Mit: | Beata Lubinska |
| Erscheinungsdatum: | 01.11.2021 |
| Gewicht: | 0,632 kg |
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