Interest Rate Risk Management: Getting Ahead of the Curve

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9 June 2016



Management of Interest Rate Risk in the Banking Book (IRRBB) is starting to receive much more attention, after a long period in which other regulatory and risk management issues dominated the headlines. This shift results from i) market environment: stark divergence in monetary policies between US and Europe/Japan; and ii) regulatory pressures: Basel Committee’s Standards for IRRBB and sharpened US regulatory focus.

In this report, Interest Rate Risk Management: Getting Ahead of the Curve, the authors discuss the state of the industry and key enhancements banks need to focus on based on Oliver Wyman’s extensive industry work and our surveys, completed in 2011 and 2015, of the North American banking industry.The authors expect that there will be continued and increased pressure by the regulators for banks to enhance IRRBB analytics and governance, broadly similar to the trends we have observed in the evolution of CCAR, liquidity management and resolution, and recovery planning frameworks. They highlight best practices and focus areas for banks to be best positioned for the market and regulatory requirements.

Gokce Ozcan, Partner in the Americas Finance & Risk Practice
Deepak Kollali, Partner in the Americas Finance & Risk Practice
Jai Sooklal, Partner in the Americas Finance & Risk Practice