Interest Rate Modelling and IRRBB Modelling in a Higher-for-Longer World - PANEL DISCUSSION

Examining how institutions are adapting IRRBB and hedging frameworks to account for sustained rate volatility.

• Enhancing behavioural modelling for deposit repricing
• Measuring sensitivity of net interest income to rate shocks
• Evaluating interest rate shock scenarios and model adjustments
• Assessing hedge effectiveness under IFRS 9 and Basel IV
• Calibrating assumptions for pass-through and customer behaviour
• Aligning internal models with regulatory IRRBB expectations