Insights
Interest Rate Risk
Analysis, news, and practical guidance on measurement, modelling, and management.
From 14.4 Years to 2.5 Years: What Drove the Wide Range in the ECB Modelled Deposit Duration
A 2023 ECB workshop presentation models NMD duration at anywhere from 2.5 to 14.4 years depending on the rate environment. A twelve-year range is striking. What's actually driving it?
Untangling the Regulatory EVE Caps
The five-year cap on NMD behavioural repricing is one of the most discussed parts of the EBA's IRRBB framework. Most practitioners can quote the number. Fewer can answer the questions that come up once you try to apply it.
Why we need to change how we think about IRRBB data
In 2026, the definition of data most banks have used for twenty years is no longer wide enough. Regulation, policy interpretation, methodology, procedure, model limitations and data-quality state all belong in the data foundation.
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.