{"id":25482,"date":"2024-07-16T09:00:00","date_gmt":"2024-07-16T13:00:00","guid":{"rendered":"https:\/\/gestionderiesgo.org\/?p=25482"},"modified":"2026-10-11T20:21:20","modified_gmt":"2026-10-12T00:21:20","slug":"recalibration-of-shocks-in-the-irrbb-standard","status":"publish","type":"post","link":"https:\/\/gestionderiesgo.org\/en\/recalibration-of-shocks-in-the-irrbb-standard\/","title":{"rendered":"Recalibration of shocks in the interest rate risk in the banking book standard"},"content":{"rendered":"<div class=\"fusion-fullwidth fullwidth-box fusion-builder-row-1 fusion-flex-container nonhundred-percent-fullwidth non-hundred-percent-height-scrolling\" 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.cgp-cover.cgp-doc{aspect-ratio:4\/3}#cgr-pub .cgp-head{grid-template-columns:minmax(0,1fr);gap:26px}#cgr-pub .cgp-body{grid-template-columns:minmax(0,1fr);gap:30px}#cgr-pub .cgp-side{position:static}}\n@media(max-width:520px){#cgr-pub{font-size:16px}#cgr-pub .cgp-facts{grid-template-columns:minmax(0,1fr)}#cgr-pub .cgp-btn{width:100%;justify-content:center}}\n<\/style>\n<div id=\"cgr-pub\">\n<header class=\"cgp-head\">\n<figure class=\"cgp-cover cgp-doc\"><i style=\"background-image:url(https:\/\/gestionderiesgo.org\/wp-content\/uploads\/2026\/10\/pub-recalibration-of-shocks-in-the-irrbb-standard.jpg?v=1791456055)\"><\/i><img fetchpriority=\"high\" src=\"https:\/\/gestionderiesgo.org\/wp-content\/uploads\/2026\/10\/pub-recalibration-of-shocks-in-the-irrbb-standard.jpg?v=1791456055\" width=\"720\" height=\"1018\" alt=\"Primera p\u00e1gina del documento: Recalibration of shocks in the interest rate risk in the banking book standard\" loading=\"eager\" decoding=\"async\"><\/figure>\n<div class=\"cgp-intro\">\n<p class=\"cgp-kind\">Standard \u00b7 International body<\/p>\n<h2 class=\"cgp-title\">Recalibration of shocks in the interest rate risk in the banking book standard<\/h2>\n<p class=\"cgp-lead\">Basel updates the IRRBB interest rate shocks to correct the methodology when rates are close to zero.<\/p>\n<dl class=\"cgp-facts\"><div><dt>Organization<\/dt><dd>Basel Committee on Banking Supervision (BCBS)<\/dd><\/div><div><dt>Document date<\/dt><dd>16 July 2024<\/dd><\/div><div><dt>Type<\/dt><dd>Standard<\/dd><\/div><div><dt>Language<\/dt><dd>English<\/dd><\/div><div><dt>Scope<\/dt><dd>International<\/dd><\/div><div><dt>Length<\/dt><dd>11 pages<\/dd><\/div><\/dl>\n<div class=\"cgp-actions\"><a class=\"cgp-btn\" href=\"https:\/\/www.bis.org\/bcbs\/publ\/d578.htm\" target=\"_blank\" rel=\"noopener noreferrer\"><svg viewbox=\"0 0 24 24\" aria-hidden=\"true\"><path d=\"M14 4h6v6\"\/><path d=\"M20 4l-9 9\"\/><path d=\"M18 14v5a1 1 0 0 1-1 1H5a1 1 0 0 1-1-1V7a1 1 0 0 1 1-1h5\"\/><\/svg>See the official source<\/a><a class=\"cgp-btn alt\" href=\"https:\/\/www.bis.org\/bcbs\/publ\/d578.pdf\" target=\"_blank\" rel=\"noopener noreferrer\"><svg viewbox=\"0 0 24 24\" aria-hidden=\"true\"><path d=\"M7 3h7l5 5v12a1 1 0 0 1-1 1H7a1 1 0 0 1-1-1V4a1 1 0 0 1 1-1z\"\/><path d=\"M14 3v5h5\"\/><path d=\"M9 14h6\"\/><path d=\"M9 17h4\"\/><\/svg>PDF document<\/a><\/div>\n<\/div>\n<\/header>\n<div class=\"cgp-body\">\n<div class=\"cgp-main\">\n<h3>What it contains<\/h3>\n<p>In December 2023 the Basel Committee put out for consultation adjustments to the rate shocks in its standard on interest rate risk in the banking book (IRRBB), in line with the commitment to recalibrate them periodically, and targeted changes to the calculation methodology to correct problems when rates are close to zero. After assessing the comments, the Committee finalised the new methodology and published the revised standard in July 2024.<\/p><p>The main changes from the current methodology are: extending the calibration time series (initially to December 2022 and, in the final version, to December 2023, with the start date remaining January 2000); replacing global shock factors with local factors calculated for each currency using the averages of absolute rate changes over a rolling six-month window; and moving from the 99th percentile to the 99.9th percentile to maintain sufficient conservatism. The final version also reduces the rounding of shocks to multiples of 25 basis points, instead of 50, which softens cliff effects. The scenarios, time buckets, floors and caps do not change.<\/p><p>The revised standard should be applied no later than 1 January 2026: banks with a 31 December year-end should disclose the information in 2026 with data as of 31 December 2025. The revised text is incorporated into chapters SRP31 and SRP98 of the Basel Framework.<\/p>\n<section class=\"cgp-importa\"><h3>Why it matters for risk management<\/h3><p>It affects the calculation of rate shocks for economic value and net interest income analyses of the banking book, and how they are disclosed. It is a Basel standard: its application in the Dominican Republic depends on local regulation.<\/p><\/section>\n<p class=\"cgp-aviso\">The Club originally published a summary of this document; the old link pointed to the Spanish text, which is no longer available on the BIS website.<\/p><p class=\"cgp-note\">Summary prepared by the Dominican Republic Risk Management Club from a reading of the original document, with the source verified on 7 October 2026. It does not replace reading the official text and is not advice.<\/p>\n<p class=\"cgp-back\"><a href=\"\/en\/publicaciones\/\">See all publications<\/a><\/p>\n<\/div>\n<aside class=\"cgp-side\">\n<section class=\"cgp-card\"><h3>Key points<\/h3><ul class=\"cgp-points\"><li>Calibration series extended to December 2023, with the start in January 2000.<\/li><li>Local shock factors by currency, calculated over a rolling six-month window.<\/li><li>The 99.9th percentile instead of the 99th to maintain conservatism.<\/li><li>Shocks rounded to multiples of 25 basis points, instead of 50.<\/li><li>To be applied no later than 1 January 2026; incorporated into SRP31 and SRP98.<\/li><\/ul><\/section>\n<section class=\"cgp-card\"><h3>How to cite it<\/h3><p class=\"cgp-cite\">Basel Committee on Banking Supervision (2024). Recalibration of shocks in the interest rate risk in the banking book standard. Basel: Bank for International Settlements, 16 July 2024.<\/p><\/section>\n<section class=\"cgp-card\"><h3>Topics<\/h3><ul class=\"cgp-chips\"><li><a href=\"\/en\/publicaciones\/?tema=riesgo-de-mercado-y-liquidez\">Market and liquidity risk<\/a><\/li><\/ul><\/section>\n<\/aside>\n<\/div>\n<\/div><link rel=\"stylesheet\" href=\"https:\/\/fonts.googleapis.com\/css2?family=Zilla+Slab:wght@500;600&display=swap\">\n<footer id=\"cgr-foot\" aria-label=\"Footer of the Risk Management Club\">\n<style>\n#main{padding-bottom:0!important}\n.fusion-fullwidth:has(#cgr-foot),.fusion-layout-column:has(#cgr-foot){padding-bottom:0!important;margin-bottom:0!important}\n#cgr-foot{--navy:#0E3351;--blue:#186392;--web:#1A80B6;--red:#E22A3A;--ink:#1C2632;--slate:#5B6775;--line:#D9E1EA;--mist:#F2F5F8;\n  position:relative;margin:96px 0 0;padding:0;background:var(--mist);box-shadow:0 0 0 100vmax var(--mist);clip-path:inset(0 -100vmax);\n  color:var(--ink);font-family:\"Open 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Av. Tiradentes at the corner of Presidente Gonz\u00e1lez, Ensanche Naco, Santo Domingo<\/span><\/li>\n      <li><svg viewbox=\"0 0 24 24\" aria-hidden=\"true\"><path d=\"M5 4h4l2 5-2.5 1.5a11 11 0 0 0 5 5L15 13l5 2v4a2 2 0 0 1-2 2A16 16 0 0 1 3 6a2 2 0 0 1 2-2\"\/><\/svg><span><a href=\"tel:+18097453289\">809-745-3289<\/a><br><a href=\"tel:+18494774959\">849-477-4959<\/a><a class=\"cgf-wa\" href=\"https:\/\/wa.me\/18494774959\" target=\"_blank\" rel=\"noopener\" aria-label=\"Escribir por WhatsApp al 849-477-4959 (se abre en una pesta\u00f1a nueva)\" title=\"WhatsApp\"><svg viewbox=\"0 0 24 24\" aria-hidden=\"true\"><path d=\"M17.472 14.382c-.297-.149-1.758-.867-2.03-.967-.273-.099-.471-.148-.67.15-.197.297-.767.966-.94 1.164-.173.199-.347.223-.644.075-.297-.15-1.255-.463-2.39-1.475-.883-.788-1.48-1.761-1.653-2.059-.173-.297-.018-.458.13-.606.134-.133.298-.347.446-.52.149-.174.198-.298.298-.497.099-.198.05-.371-.025-.52-.075-.149-.669-1.612-.916-2.207-.242-.579-.487-.5-.669-.51-.173-.008-.371-.01-.57-.01-.198 0-.52.074-.792.372-.272.297-1.04 1.016-1.04 2.479 0 1.462 1.065 2.875 1.213 3.074.149.198 2.096 3.2 5.077 4.487.709.306 1.262.489 1.694.625.712.227 1.36.195 1.871.118.571-.085 1.758-.719 2.006-1.413.248-.694.248-1.289.173-1.413-.074-.124-.272-.198-.57-.347m-5.421 7.403h-.004a9.87 9.87 0 01-5.031-1.378l-.361-.214-3.741.982.998-3.648-.235-.374a9.86 9.86 0 01-1.51-5.26c.001-5.45 4.436-9.884 9.888-9.884 2.64 0 5.122 1.03 6.988 2.898a9.825 9.825 0 012.893 6.994c-.003 5.45-4.437 9.884-9.885 9.884m8.413-18.297A11.815 11.815 0 0012.05 0C5.495 0 .16 5.335.157 11.892c0 2.096.547 4.142 1.588 5.945L.057 24l6.305-1.654a11.882 11.882 0 005.683 1.448h.005c6.554 0 11.89-5.335 11.893-11.893a11.821 11.821 0 00-3.48-8.413Z\"\/><\/svg><\/a><\/span><\/li>\n      <li><svg viewbox=\"0 0 24 24\" aria-hidden=\"true\"><rect x=\"3\" y=\"5\" width=\"18\" height=\"14\" rx=\"2\"\/><path d=\"m3.5 6.5 8.5 6.5 8.5-6.5\"\/><\/svg><a href=\"mailto:info@gestionderiesgo.org\">info@gestionderiesgo.org<\/a><\/li>\n      <li><svg viewbox=\"0 0 24 24\" aria-hidden=\"true\"><circle cx=\"12\" cy=\"12\" r=\"9\"\/><path d=\"M12 7v5l3 2\"\/><\/svg><span>Monday to Thursday, 8:30 a.m. to 5:30 p.m.<br>Friday, 8:30 a.m. to 5:00 p.m.<\/span><\/li>\n    <\/ul>\n  <\/div>\n<\/div>\n\n<div class=\"cgf-bar\">\n  <div class=\"cgf-legal\"><img decoding=\"async\" class=\"cgf-pay\" src=\"https:\/\/gestionderiesgo.org\/wp-content\/uploads\/2023\/01\/Verified.png\" alt=\"Verified by Visa y Mastercard ID Check\" width=\"101\" height=\"34\" loading=\"lazy\"><p>\u00a9 2026 Gesti\u00f3n de Riesgo RD, SRL. All rights reserved.<\/p><\/div>\n  <nav class=\"cgf-pol\" aria-label=\"Policies\">\n    <a href=\"\/en\/politicasdeprivacidad\/\">Privacy<\/a><a href=\"\/en\/terminos-y-condiciones-2\/\">Terms and Conditions<\/a><a href=\"\/en\/politicas-de-reembolso\/\">Delivery and refunds<\/a><a href=\"\/en\/politicas-de-seguridad\/\">Security<\/a><a href=\"\/en\/preguntas-frecuentes\/\">Frequently asked questions<\/a>\n  <\/nav>\n<\/div>\n<\/footer>\n\n<style>#cgr-foot .cgf-ct li a.cgf-wa{display:inline-flex;vertical-align:middle;margin-left:8px}#cgr-foot .cgf-ct li a.cgf-wa svg{width:18px;height:18px;margin:0;fill:#25D366;stroke:none}<\/style><\/div><\/div><\/div><\/div>","protected":false},"excerpt":{"rendered":"<p>Final version of the recalibration of the IRRBB standard\u2019s rate shocks: data series to end-2023, local factors by currency, the 99.9th percentile and rounding to multiples of 25 basis points. To be applied from 1 January 2026.<\/p>","protected":false},"author":1,"featured_media":25578,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":true,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"cgp_org":"Comit\u00e9 de Supervisi\u00f3n Bancaria de Basilea","cgp_siglas":"BCBS","cgp_tipo":"Est\u00e1ndar","cgp_fecha":"2024-07-16","cgp_url":"https:\/\/www.bis.org\/bcbs\/publ\/d578.htm","cgp_pdf":"https:\/\/www.bis.org\/bcbs\/publ\/d578.pdf","cgp_idioma":"Ingl\u00e9s","cgp_pais":"Internacional","cgp_temas":"Riesgo de mercado y liquidez","cgp_portada":"https:\/\/gestionderiesgo.org\/wp-content\/uploads\/2026\/10\/pub-recalibration-of-shocks-in-the-irrbb-standard.jpg","cgp_verificado":"2026-10-07","cgp_origen":"migrada","cgp_fuente":"Organismo internacional","cgp_paginas":"11","cgp_autores":"","cgp_fecha_texto":"","cgp_portada_tipo":"doc","_jetpack_memberships_contains_paid_content":false,"footnotes":""},"categories":[74],"tags":[],"class_list":["post-25482","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-publicaciones-del-sector"],"jetpack_sharing_enabled":true,"jetpack_featured_media_url":"https:\/\/gestionderiesgo.org\/wp-content\/uploads\/2026\/10\/pub-recalibration-of-shocks-in-the-irrbb-standard.jpg","_links":{"self":[{"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/posts\/25482","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/comments?post=25482"}],"version-history":[{"count":4,"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/posts\/25482\/revisions"}],"predecessor-version":[{"id":26265,"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/posts\/25482\/revisions\/26265"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/media\/25578"}],"wp:attachment":[{"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/media?parent=25482"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/categories?post=25482"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/tags?post=25482"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}