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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!

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    $\begingroup$ I don't think you need a book because most stuff is either not specific to IRRBB (curve construction, forecasting) or very well defined in the papers about IRRBB (e.g. EBA guidelines) where the shock sizes and formulas (for short rates up, down, steepened, flattener) are well defined. Repricing risk is a gap risk and really just a slotting in the time buckets (defined in the EBA paper). If you use a programme like OneSumX from Wolters Kluwers, you have all these risk metrics already implemented and explained in the white paper of the software. $\endgroup$
    – AKdemy
    Commented Aug 19, 2023 at 9:34
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    $\begingroup$ In general, your question is very diverse and even curve construction (although not specific to IRRBB) alone is a topic that can fill books. $\endgroup$
    – AKdemy
    Commented Aug 19, 2023 at 9:36
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    $\begingroup$ What exactly is the reason for this question? Are you working at a bank, or interested from an academic perspective, or some other reason? $\endgroup$
    – AKdemy
    Commented Aug 20, 2023 at 13:10

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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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    $\begingroup$ I also think more specific questions would be better. EBA has good papers as well. In Europe, you had to do most computations already for the latest quantitative impact study (QIS). It's quite a comprehensive set of requirements but if you work on that topic, there must be someone who already is very familiar with the stuff. $\endgroup$
    – AKdemy
    Commented Aug 19, 2023 at 12:12
  • $\begingroup$ @AKdemy Thanks! Here is mckinsey.com/capabilities/risk-and-resilience/our-insights/… a McKinsey writeup on the new EU guidelines. I have this 2021 book wiley.com/en-us/… which is nice, but is pre-EU. If I were at a small institution that hasn't needed IRRBB before, but needs it now for the first time, then I'd look for what risk infrastructure is already in place, and, chances are, be able to recycle much of it for this. $\endgroup$
    – Dimitri Vulis
    Commented Aug 19, 2023 at 12:47

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