After the entry in force of the 2019 EBA guidelines on IRRBB, the regulatory expectations are still strengthening up. On the Pillar I side, the guidelines have been translated in Regulatory Technical Standards, and the standardised supervisory outlier tests are being revised by the European Banking Authority. On the Pillar II side, new requirements are introduced, among other which the modelling of credit spread risk
Moreover, the interest rate environment is becoming more uncertain than it ever was since more than 20 years, and all the internal models will probably be put to a live test in an environment they never experienced.
In this context, it is especially important to rely on seasoned experts, with a proven track record of developing and validating IRRBB solutions. Our IRRBB service is a comprehensive modular approach guaranteeing compliance and addressing data, analytics, modelling, and reporting issues. It extends from identifying the interest and credit spread risks and assessing the potential gaps, to designing measurement and monitoring solutions. In addition, it tackles the automation of risk processes, the framing of effective internal controls and the design of management information systems, ensuring a strong comprehensive governance of IRRBB.