Regulatory Interest Rate Risk Management Requirements are challenging – The closer the June Deadline, the less ready Banks seem to be
Read more about the Key Findings:
Ability to monitor and measure IRR at a higher frequency has declined during the last three years. Especially the ability to asses sensitivity to key behavioural assumptions is surprisingly low
Not even half of banks are compliant with the IRRBB EBA Guideline, published in July 2018
The ability to break down IRRBB into contractual, modelled and hedged components has improved. Banks have also improved in their ability to measure the interaction of IRRBB with other risks
REQUEST YOUR COPY of the Survey Report to find out about the current situation of IRR management in banks and to benchmark against your peers.
The 2019 IRR Survey was carried out between December 2018 and February 2019, with eighty-six banking professionals participating from thirty-six countries across the UK, Continental Europe, Asia, Africa and America.
MORS Software conducts two annual Risk Management Surveys; Interest Rate Risk Management Survey at the yearend and Liquidity Risk Management Surveys during the summer.
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