12 October 2022
The European Banking Authority's work on interest rate risk for the banking book (IRRBB) and credit spread risk from non-trading book activities (CSRBB) takes a closer look at the technical aspects of managing/monitoring interest rate risk.
These are risks to a bank's profit and capital position arising from the impact of unfavorable developments in interest rates. Accepting this risk is a normal part of banking and can be an important source of profitability and shareholder value. However, sound risk management is important because excessive interest rate risk can also threaten a bank's financial position.