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Deloitte Approach On IRRBB
Deloitte Approach On IRRBB
Repricing risk, risks related to the timing mismatch in the maturity and repricing of assets and liabilities and off
balance sheet short and long term positions
Basis risk, risks arising from hedging exposure to one interest rate with exposure to a rate which reprices
under slightly different conditions
Yield curve risk, risks arising from changes in the slope and the shape of the yield curve
Optional risk, risks arising from options, including embedded options, e.g. consumers redeeming fixed rate
products when market rates change
Excessive levels of interest rate risks in the banking book can pose a significant threat to an institution’s earnings and
capital base. Accordingly, effective risk management that maintains interest rate risks at prudent levels is essential to the
safety and soundness of banking institutions.
Deloitte's IRRBB Approach
At Deloitte, we work closely with financial institutions and financial regulators around the world and developed
multidisciplinary IRRBB management solutions to support both the capital markets and clients operate effectively in the
challenging interest rate environment.
Deloitte's approach combines the disciplines of economics and management, employing the analytical tools of economics
with the insights of business leaders. Our methodology examines both macro- and micro-economic industry trends as
well as regulatory evolution to better understand the broad forces affecting business strategy and corporate policy.
Deloitte's IRRBB teams are led by a group of senior professionals and include consultants from Deloitte's offices around
the world. These teams draw on Deloitte’s global network of partners and industry and management experts.
How Deloitte Can Help
Deloitte's IRRBB Management solutions evolves along with the concurrent financial markets' and regulatory challenges
for improving interest rate risk identification, measurement, valuation, reporting and monitoring, hedging strategies and
management governance.
We can help you perform the following interest rate risk management solutions in the banking book activities:
IRRBB Identification
Define banking book boundaries
Identify on- and off-balance sheet interest rate risk exposures
Establish IRRBB rate and risk repositories
IRRBB Governance
Changjun Yun
Associated Director | Enterprise
Risk Services
Tel: +852 2852 5814
Fax: +852 2541 7392
Email: [email protected]
This publication contains general information only, and none of Deloitte Touche Tohmatsu Limited, its member firms, or their related
entities (collectively the “Deloitte Network”) is by means of this publication, rendering professional advice or services. Before making any
decision or taking any action that may affect your finances or your business, you should consult a qualified professional adviser. No entity
in the Deloitte Network shall be responsible for any loss whatsoever sustained by any person who relies on this publication.