80. Institutions should measure their exposure to IRRBB in terms of potential changes to both the …

Institutions should measure their exposure to IRRBB in terms of potential changes to both the economic value and net interest income measures plus market value changes. Institutions should use complementary features of the IRRBB measures to capture the complex nature of IRRBB over the short-term and long-term time horizons. In particular, institutions should measure and monitor (i) the overall impact of key modelling assumptions on the measurement of IRRBB under the different IRRBB measures, and (ii) the IRRBB of their banking book interest rate derivatives where relevant for the business model.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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