IRRBB (Interest rate risk in the banking book)

Roles that need it

• ALM Analyst
• Treasury Analyst
• Liquidity Risk Analyst
• Regulatory Consultant (Banking)
• Regulatory Reporting Analyst
• Risk Advisory Consultant

Skills it belongs to

• Asset-liability management and rate risk
• Liquidity metrics (LCR, NSFR)
• Scenario and sensitivity analysis

Related concepts

• Pillar 2 (P2R and P2G)Pillar 2 covers risks not captured, or not fully captured, by Pillar 1. Supervisors set a binding Pillar 2 requirement (P2R) after the SREP, and a non-binding Pillar 2 guidance (P2G) informed by stress tests. Both are expressed as a share of risk-weighted assets.
• ICAAP (Internal Capital Adequacy Assessment Process)The ICAAP is a bank's own process for identifying its material risks and assessing whether its internal capital is adequate to cover them now and under stress over a forward-looking horizon. It is required by Article 73 of the CRD and is a key input to the SREP.
• SREP (Supervisory Review and Evaluation Process)The SREP is the annual review in which supervisors assess a bank's business model, governance, capital and liquidity risks. It ends with a decision setting the Pillar 2 requirement, Pillar 2 guidance, liquidity measures and qualitative measures. In the euro area the ECB runs it for significant banks.

Sources

• Interest rate risk in the banking book, BIS (external site) accessed 31 Oct 2026
• Directive 2013/36/EU (Capital Requirements Directive), EUR-Lex (external site) accessed 31 Oct 2026

Updated 31 Oct 2026.