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Introduces practical approaches for optimizing management and hedging of Interest Rate Risk in the Banking Book (IRRBB) driven by fast evolving regulatory landscape and market expectations.Interest rate risk in the banking book (IRRBB) gained its importance through the regulatory requirements that have been growing and guiding the banking industry for the last couple of years. The importance of IRRBB is shifting for banks, away from 'just' a regulatory requirement to having an impact on the overall profitability of a financial institution. Interest Rate Risk in the Banking Book sheds light on the best practices for managing this importance risk category and provides detailed analysis of the hedging strategies, practical examples, and case studies based on the author's experience. This handbook is rich in practical insights on methodological approach and contents of ALCO report, IRRBB policy, ICAAP, Risk Appetite Statement (RAS) and model documentation. It is intended for the Treasury, Risk and Finance department and is helpful in improving and optimizing their IRRBB framework and strategy. By the end of this IRRBB journey, the reader will be equipped with all the necessary tools to build a proactive and compliant framework within a financial institution.* Gain an updated understanding of the evolving regulatory landscape for IRRBB* Learn to apply maturity gap analysis, sensitivity analysis, and the hedging strategy in banking contexts * Understand how customer behavior impacts interest rate risk and how to manage the consequences* Examine case studies illustrating key IRRBB exposures and their implicationsWritten by London market risk expert Beata Lubinska, Interest Rate Risk in the Banking Book is the authoritative resource on this evolving topic.

Updating the Current Third Edition of Risk Management in BankingIn updating the 3rd edition, two types of changes have been made, namely streamlining the text and additions. The "streamlining" is largely inspired by the author's teaching experiences.(i) Organization of the Text (updating of existing material): The sections and chapters to be updated include Chapter 5 on banking products, Chapter 10 on distribution functions, Chapter 11 to 14 on returns and prices and Chapter 30 to 34 of Section 9 on "Dependencies."(ii) Extensions of the 3rd Edition Text (new material): The extensions should fill some gaps in the presentations, address new approaches or extend the scope of some concepts: A Derivatives Section, Additions to the ALM Section, Liquidity Analysis, Optionality in Banking Products, Market Risk Section, Isolating Spread Risk, Credit Portfolio Model Section, Structured Products Section, Lessons from Teaching Courses in Risk Management, The Finance of Financial Firms: Asset-Liability Management, Market Risk and VaR, Credit Risk and Trading Credit Risk and Securitisations.The conclusion of the text is a wrap-up of the crises and the lessons from the crises mixing new views, such as behavioural finance and nonlinearity of risk.

This book presents an integrated framework for risk measurement, capital management and value creation in banks. Moving from the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value. Parts I - IV discuss different risk types (including interest rate, market, credit and operational risk) and how to assess the amount of capital they absorb by means of up-to-date, robust risk-measurement models. Part V surveys regulatory capital requirements: a special emphasis is given to the Basel II accord, discussing its economic foundations and managerial implications. Part VI presents models and techniques to calibrate the amount of economic capital at risk needed by the bank, to fine-tune its composition, to allocate it to risk-taking units, to estimate the "fair" return expected by shareholders, to monitor the value creation process.Risk Management and Shareholders' Value in Banking includes: Value at Risk, Monte Carlo models, Creditrisk+, Creditmetrics and much more formulae for risk-adjusted loan pricing and risk-adjusted performance measurement extensive, hands-on Excel examples are provided on the companion website www.wiley.com/go/rmsv a complete, up-to-date introduction to Basel II focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics