2026
Insights
Interest Rate Risk
Analysis, news, and practical guidance on measurement, modelling, and management.
Does the EVE SOT Really Tell Us Anything?
A single year shift in deposit duration assumptions breaches the SOT threshold at every bank we sampled. When the entire metric hinges on an inherently unknowable guess, what exactly are we measuring?
IRRBB Regulation: All Model, No Plumbing
Pick up any IRRBB regulation and you'll find the same structural imbalance. Modelling methodology dominates. The requirement to have robust systems and data infrastructure, the thing that actually determines whether your numbers are right, barely gets a look in.
LLMs: A Practical Guide for Banking Professionals
Think of a vending machine that occasionally dispenses two items or nothing at all. Brilliant when it works, maddening when it doesn't, and experienced users know exactly which button combination gets the best result. LLMs are a bit like that.
Welcome to irrbb.com
After 16 years in IRRBB, I built the resource I wish I'd had when I started. Here's why.