Interest Rate Risk in the Banking Book

A Best Practice Guide to Management and Hedging

Interest Rate Risk in the Banking Book
Beata Lubinska
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NZ$ 166.99
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NZ$ 141.94
Hardback
h246 x 176mm - 256pg
28 Oct 2021 US
International import eta 10-30 days
9781119755012
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Introduces practical approaches for optimizing management and hedging of Interest Rate Risk in the Banking Book (IRRBB) driven by fast evolving regulatory landscape and market expectations. Interest rate risk in the banking book (IRRBB) gained its importance through the regulatory requirements that have been growing and guiding the banking industry for the last couple of years. The importance of IRRBB is shifting for banks, away from ' just' a regulatory requirement to having an impact on the overall profitability of a financial institution. Interest Rate Risk in the Banking Book sheds light on the best practices for managing this importance risk category and provides detailed analysis of the hedging strategies, practical examples, and case studies based on the author' s experience. This handbook is rich in practical insights on methodological approach and contents of ALCO report, IRRBB policy, ICAAP, Risk Appetite Statement (RAS) and model documentation. It is intended for the Treasury, Risk and Finance department and is helpful in improving and optimizing their IRRBB framework and strategy. By the end of this IRRBB journey, the reader will be equipped with all the necessary tools to build a proactive and compliant framework within a financial institution. Gain an updated understanding of the evolving regulatory landscape for IRRBBLearn to apply maturity gap analysis, sensitivity analysis, and the hedging strategy in banking contexts * Understand how customer behavior impacts interest rate risk and how to manage the consequencesExamine case studies illustrating key IRRBB exposures and their implicationsWritten by London market risk expert Beata Lubinska, Interest Rate Risk in the Banking Book is the authoritative resource on this evolving topic.
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.
Status: Active
ISBN-13: 9781119755012
Published: 28 Oct 2021
Published In: United States
Imprint: John Wiley & Sons
Publisher: John Wiley & Sons
Format: Hardback
Height: 246mm
Width: 176mm
Spine: 21mm
Weight: 630g
Pages: 256

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