Interest Rate Risk in the Banking Book (IRRBB)

Advanced IRRBB Solutions

Our IRRBB services help banks effectively measure, monitor, and manage interest rate risk in their banking book through sophisticated modeling and comprehensive risk management frameworks.

From economic value of equity (EVE) to net interest income (NII) modeling, we deliver solutions that ensure regulatory compliance while optimizing balance sheet management.

Economic Value Measures

Advanced EVE modeling and sensitivity analysis

Earnings-Based Measures

Comprehensive NII modeling and forecasting

Stress Testing

Regulatory and internal stress testing frameworks

Regulatory Compliance

Basel III IRRBB and BCBS 368 compliance solutions

Our IRRBB Management Services

Economic Value of Equity (EVE) Modeling

Sophisticated EVE modeling frameworks that capture the impact of interest rate changes on the economic value of the bank.

Present value sensitivity analysis
Duration and convexity calculations
Behavioral modeling for non-maturity deposits
Prepayment and early redemption modeling
Option-adjusted spread (OAS) calculations
EVE stress testing and scenario analysis

Net Interest Income (NII) Modeling

Comprehensive NII modeling and forecasting frameworks for earnings-based interest rate risk measurement.

Dynamic balance sheet modeling
Interest rate repricing analysis
Margin compression modeling
Business growth assumptions integration
NII sensitivity and stress testing
Earnings volatility assessment

Behavioral Modeling & Assumptions

Advanced behavioral modeling for products with embedded optionality and uncertain cash flows.

Non-maturity deposit (NMD) modeling
Prepayment modeling for mortgages and loans
Early redemption modeling for term deposits
Credit line utilization modeling
Customer behavior analysis and calibration
Model validation and backtesting

IRRBB Stress Testing

Comprehensive stress testing frameworks covering regulatory and internal stress scenarios.

Basel III IRRBB standard shock scenarios
Supervisory outlier test (SOT) calculations
Internal stress testing scenarios
Reverse stress testing methodologies
Multi-factor stress testing frameworks
Stress testing governance and validation

Regulatory Compliance & Reporting

End-to-end regulatory compliance solutions for IRRBB requirements and reporting obligations.

Basel III IRRBB framework implementation
BCBS 368 principles compliance
Supervisory review and evaluation process (SREP)
IRRBB policy and governance frameworks
Regulatory reporting automation
Supervisory dialogue and examination support

IRRBB Systems & Infrastructure

Comprehensive IRRBB system implementation with real-time monitoring and automated calculations.

IRRBB calculation engine development
Real-time risk monitoring dashboards
Automated stress testing platforms
Data integration and validation systems
Risk limit monitoring and alerting
Management reporting and analytics

IRRBB Management Results

Model Accuracy

98%

Accuracy in IRRBB model predictions and stress testing

Risk Reduction

40%

Average reduction in interest rate risk exposure

Processing Speed

75%

Reduction in IRRBB calculation and reporting time

Compliance Rate

100%

Regulatory compliance across all IRRBB requirements

Our IRRBB Implementation Process

Risk Assessment

Comprehensive assessment of current IRRBB exposure and management framework.

Framework Design

Design of optimal IRRBB measurement and management framework.

Model Development

Development of sophisticated EVE and NII models with behavioral assumptions.

System Implementation

Implementation of IRRBB calculation engines and monitoring systems.

Testing & Validation

Comprehensive testing, validation, and calibration of IRRBB models.

Ongoing Monitoring

Continuous monitoring, optimization, and enhancement of IRRBB management.