MORS Software today published the results of its 2018 Survey on Interest Rate Risk Management (IRR).
The survey results show that there is still significant room for improvement in the ability to manage, monitor and measure IRR, as well as IRRBB, on a daily frequency. The survey also shows that regulatory compliance has emerged as an equally important driver, alongside internal risk management, for calculating IRR scenarios and stress testing.
The survey was carried out between December 2017 and February 2018, with sixty-seven banking professionals participating from thirty-nine countries across the UK, Continental Europe, Asia, Africa and North America.
“This IRR survey complements our annual Liquidity Risk Management Survey, and together these surveys form an interesting semi-annual follow-up of the developments of the key focus areas within Treasury ALM,” said Mika Mustakallio, MORS Software CEO. “We see a trend in banks to integrate interest rate risk management and liquidity risk management as part of Asset and Liability Management (ALM). We also see a strengthening trend in holistic optimisation of all risks against internal and external constraints, and consequently less focus on measuring individual risk silos. With the surveys, we hope to capture an understanding of how the integrated view of risks develops.”