Interconnections between IRRBB and liquidity management | Wolters Kluwer
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  • Interconnections between IRRBB and liquidity management

    Date recorded: Thursday, June 7, 2018

    The Interest Rate Risk in the Banking Book (IRRBB) is one of the many regulatory frameworks that financial institutions must put into practice in the months and years ahead. What makes it so important is that the finalized Basel III standard encompasses much spectrum of risks that banks face. 

    Effective management of interest rate risk is especially important in today’s uncertain operating environment. Whatever operating conditions banks encounter, the relationships among different sources of risk are intricate and complex, often in unpredictable ways. 

    Find out from this video on how you can create a comprehensive picture of interest rate risk and total liquidity, understanding and measuring them, and applying them on regulatory reporting practices. This video covers the following:

    • Defining the interconnections between IRRBB and liquidity management
    • Searching for the interactions between different sources of risk
    • Managing liquidity buffer – integrated approach or independent management
    • Common approach to behavioral modeling



    If you found this video useful, you may also wish to read our recent commentary “IRRBB: The Big Picture in Miniature” to find out how you can get IRRBB right and assess various sources of it to implement other supervisory regimens to become a better, not just a more compliant, business.

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