Cover -- Title Page -- Copyright Page -- Contents -- Preface -- About the Website -- Introduction -- Chapter 1 What is IRRBB and why is it important? -- Subcategories of interest rate risk -- Repricing risk (gap risk) -- Yield risk -- Optionality risk -- Basis risk -- Regulatory overview for IRRBB -- what has changed? -- ECB 2017 IRRBB stress test -- Interest rate shocks -- Oil Supply Crisis -- HY/LBO/Default Risk -- Inflation expectations -- Great Bond Massacre -- 94 -- Chapter 2 How to identify and measure Interest Rate Risk in the Banking Book -- Identification of IRRBB -- case studies of the exposure to IRRBB -- The dual nature of IRRBB -- Exposure to short-terminterest rate risk -- maturity gap analysis -- Maturity gap analysis according to the advanced approach -- Brief comparison of two approaches: the basic maturity gap and the advanced repricing gap -- Two different ways of looking at the maturity gap -- Repricing gap analysis and refixing gap analysis -- Maturity gap analysis from the economic value perspective -- Time bucket sensitivity analysis -- PV01 -- Duration gap analysis -- Limits of duration gap analysis -- IRRBB metrics -- Earnings at Risk (EaR) -- Net Interest Income sensitivity -- delta NII -- Present Value under + 1 bp parallel curve shift (PV01) -- Value at Risk (VaR) -- Credit Spread Risk in the Banking Book (CSRBB) -- Chapter 3 How to manage IRRBB -- Hedging instruments for IRRBB -- Forward starting swaps -- Interest rate options -- caps, floors and swaptions -- Why consider interest rate swaps? -- Natural hedging and hedging through derivatives -- Hedging strategies -- Blended rate strategy (also known as partial hedge) -- Interest rate cap and floor -- Forward rate lock -- Chapter 4 Behaviouralisation of items without deterministic maturity and their impact on IRRBB.

The significance and impact of behavioural issues in the banking book -- The reason for modelling CASA under IRRBB -- The impact of early redemption of fixed rate assets on IRRBB -- Basic approaches for the modelling of NMDs -- Balance sensitivity modelling -- Basic approaches for the modelling of statistical prepayment on the asset side -- Statistical prepayments -- Financial prepayments -- Model risk -- Chapter 5 Interest rate risk and asset liability management -- Management of IRRBB under strategic ALM -- proactive management of IRRBB -- Introduction to integrated management of interest rate risk and liquidity risk -- Introduction to strategic FTP -- Setting up the target profile and integrated management of liquidity and interest rate risk through the application of numerical optimisation technique -- Introduction to the optimisation concept -- Setting up the funding strategy for a bank taking into consideration the hedging requirements -- Hedging and funding strategies under holistic view -- IRRBB and funds transfer pricing -- Pricing of different products on the banking book -- Behaviouralisation concept in FTP -- Comprehensive and feasible IRRBB strategy -- Management of the intragroup interest rate risk -- Chapter 6 IRRBB stress test, reverse stress test and ICAAP -- IRRBB stress testing -- IRRBB stress testing methodology -- IRRBB stress test description -- ICAAP -- assessment of the internal capital to cover IRRBB -- Chapter 7 IRRBB governance and framework -- Risk Appetite Statement (RAS) -- Appendix 1: Example of IRRBB policy aligned with the requirements of BCBS Standards -- IRRBB Key Metrics and Measurement Processes -- IRRBB Risk Appetite Limits -- IRRBB Escalation and Reporting Process -- Appendix 2: Example of IRRBB model manual -- A) The Purpose of the Model -- B) Coverage -- C) Scope -- D) Description of the Measurement Techniques.