The world of interest rate risk has seen many developments since Paul Newson’s bestselling title, Interest Rate Risk in the Banking Book, was first published in 2017. The implementation of the 2016 Basel Standards, the phasing out of Libor and the impact of the global pandemic have all created a need for this updated fresh edition. With a new section on Libor transition and thorough updates on the regulatory material, the second edition offers more guidance to the regulatory requirements surrounding interest rate risk in the banking book (IRRBB) and demonstrates the importance of good governance. Now, more than ever before, institutions are looking for ways to comply with the regulations while looking for the most effective ways of calculating – and minimising – interest rate risk. The industry must take into account more extensive guidance on the IRRBB management process and enhanced disclosure requirements to promote greater transparency. Newson explains the nature of interest rate risks, describing the methods typically used to measure them, with the added advantage of many worked examples. He explores the various strengths and weaknesses of each example in order to formulate suggestions as to what constitutes best practice. Chapters include: - Fundamentals of Interest Rate Risk and the Banking Book -Standard Metrics for Identification and Assessment of IRRBB -Managing and Hedging IRRBB -Interest Rate Basis Risk and Libor Transition -Behavioural Assumptions in the Management of IRRBB This second edition is essential reading for all those involved with IRRBB, but particularly those working in a bank ALM function who wish to gain a wider appreciation of the context in which they operate. More generalist and senior bankers who need a grasp of the fundamentals and those working in a trading risk function who wish to understand how market risk in a banking book can differ from that in a trading book will also benefit from this easy-to-read title.
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