The interest rate risk of the banking book (IRRBB) Chapter contains:
– interest accrual schemes (simple, compounding, perpetual, annuity scheme),
– treasury yields and why it is a good indicator of interest rate level expectations,
– main IRRBB risk metrics (interest rate gap, ∆ NII, ∆ EVE, Economic capital),
– strategies of IRRBB management + hedging of IRRBB,
– optionalities of credit products and it’s effect on the pricing of products,
– fund transfer pricing (FTP) system: allocation of PL across the business units, internal bank, and internal cost of funding,
– pricing of loan and deposit products
PS:
– IE means illustrative examples.
– The easiest way to navigate in illustrative examples is to use the “Presentation” file.