Starting Resources for Interest Rate Risk in the Banking Book
Summary
This response recommends a focused path for learning interest rate risk in the banking book (IRRBB). It suggests beginning with Basel Committee materials that set out the regulatory framework, then consulting jurisdiction-specific guidance such as a recent European requirements paper. It also names a book on IRRBB management and hedging as an introductory resource, while cautioning that it may not reflect the latest rules.
The question lists topics including yield-curve, basis, repricing, and optionality risk; value at risk; stress scenarios; curve construction; transfer pricing; liquidity metrics; and quantitative hedging. The answer’s main advice is that these subjects are broader than IRRBB and are easier to research through narrower questions. It provides resource recommendations rather than explaining calculation methods or presenting worked examples, so readers will need to consult the cited materials for technical detail. Regulatory requirements and recommended references can change over time.
Key ideas
- Start IRRBB study with the applicable Basel regulatory framework.
- Use jurisdiction-specific materials to understand local reporting and requirements.
- A book on banking-book interest rate risk can introduce management and hedging concepts, but may be outdated.
- Break broad risk topics into focused questions to find useful technical guidance.
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# Recommended books/resources for IRRBB risk metrics calculation # Recommended books/resources for IRRBB risk metrics calculation Any recommendations for books/resources/videos/on-demand courses for in-depth IRRBB-related risk metrics calculation etc? Yield Curve Risk, Basis Risk, Repricing Risk, Optionality Risk, Value at Risk, Embedded Gain/Loss, Forecasting, Stress Scenarios, Curve Construction, Transfer Pricing, etc.? Would be great if there's also something related to Liquidity Risk Metrics, and Hedging from a quantitative standpoint. Thanks! ## Answer by Dimitri Vulis (score 3) https://quant.stackexchange.com/a/76427 All the elements that you mentioned are not specific to IRRBB. It may be more efficient to ask about more focused questions. For IRRBB in general, I suggest that you start with BCBS's Interest rate risk in the banking book (2026), which has been incorporated into later frameworks: https://www.bis.org/fsi/fsisummaries/irrbb.htm, https://www.bis.org/basel_framework/chapter/SRP/31.htm , https://www.bis.org/basel_framework/chapter/SRP/98.htm , https://www.bis.org/basel_framework/chapter/DIS/70.htm , etc. If you're looking at EU's recent IRRBB requirements, then this recent KPMG paper https://assets.kpmg.com/content/dam/kpmg/de/pdf/Themen/2023/02/KPMG-fachartikel-regulatorisches-reporting-fuer-zinsaenderungsrisiken-im-anlagebuch-sec.pdf (sorry, in German) is good. Interest Rate Risk in the Banking Book: A Best Practice Guide to Management and Hedging by Beata Lubinska is a good start, but may be a little out of date already.
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