Risk Modeling

Banking book

Risk modeling adds resilience to your decision-making. When you’re facing disruption in your banking books, we give you access to the insight to make proactive and conscious decisions.

Unstable interest rates fuel anxiety among clients and counterparties, and this leaves your banking and trading book sensitive to a whole host of market and liquidity risks. By combining vast experience of financial markets with our modeling expertise, we structure a proactive approach to risk to protect your balance sheet.

Manage shifts in banking book risk factors

We use ALM and IRRBB risk modeling to quantify the impact of adverse movements in interest rates on your capital and earnings. Equipped with our analysis, you can take a more proactive stance on guarding your banking book position in the face of both market variability and regulatory changes.

Using a combination of quantitative modeling, stress-testing and behavioral analysis, our insight gives you more control over the trajectory of your performance.

Shielding your trading book from market shocks

When markets change at unprecedented speeds, gains and losses in your trading book can have a significant impact on financial fitness. Zanders’ approach to risk combines sophisticated data science with regulatory knowledge and market experience. In short, you can rely on us to bring a sense of balance and pragmaticism to how you manage risks emerging from adverse market fluctuations.

The power of managing banking book risk

Hedging risks to your banking books

We quantify the financial impact of adverse moves in the market, and use this to inform your governance procedures, internal management practices, and strategic decision-making. This allows you to introduce measures to shield your balance sheet from the impact of market volatility.

Meeting the challenge of rising regulation

Our consultants bring a firm understanding of IRRBB, ALM, financial markets and the behavior patterns of market participants. From design to data processing and model calibration – we’re with you every step of the way.

A balance of quantitative analysis and qualitative judgement

Our consultants merge quantitative skills with a deep understanding of market and liquidity risk and regulatory practices. This produces models that are not only statistically sound, but also consistent with what’s observed in practice.

Latest Insights

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A new IRRBB Roadmap for Knab

Case Study

A new IRRBB Roadmap for Knab

Asset liability management (ALM) is an important part of banking at any time, but it tends to come more sharply into focus during times of interest rate instability. This is certainly the case in

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EBA published final package of IRRBB/CSRBB guidelines

Blog

EBA published final package of IRRBB/CSRBB guidelines

On 20 October 2022, the European Banking Authority (EBA) published the final package of guidelines for the management of Interest Rate Risk in the Banking Book (IRRBB) and the Credit Spread Risk

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European committee accepts NII SOT while EBA published its roadmap for IRRBB

Blog

European committee accepts NII SOT while EBA published its roadmap for IRRBB

The European Committee (EC) has approved the regulatory technical standards (RTS) that include the specification of the Net Interest Income (NII) Supervisory Outlier Test (SOT). The SOT

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Standardizing Financial Risk Management – ING’s Accelerating Think Forward Strategy and IRRBB Framework Transformation

Case Study

Standardizing Financial Risk Management – ING’s Accelerating Think Forward Strategy and IRRBB Framework Transformation

In 2014, with its Think Forward strategy, ING set the goal to further standardize and streamline its organization. At the time, changes in international regulations were also in full swing. But what

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The EBA’s New IRRBB Heatmap Implementation: Reporting on Key Objectives 

Blog

The EBA’s New IRRBB Heatmap Implementation: Reporting on Key Objectives 

Following the publication of its focus areas for IRRBB in 2024 and 2025, the European Banking Association (EBA) has now published an update regarding the implementation and explains the next steps.

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Time to brush-up your bank’s IRRBB framework

Blog

Time to brush-up your bank’s IRRBB framework

Regulation on interest-rate risk in the banking book (IRRBB) is evolving after being somewhat overlooked in recent years. Banks are now updating their interest-rate risk frameworks and have

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Updated IRRBB guidelines pose new challenges for banks

Blog

Updated IRRBB guidelines pose new challenges for banks

This long-awaited update for the management of Interest Rate Risk in the Banking Book (IRRBB) builds on the original guidelines published in May 2015. It also effectively is the translation to

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What can banks do to address the challenges posed by rising interest rates?

Blog

What can banks do to address the challenges posed by rising interest rates?

Today’s interest rates are positive, the yield curve relatively flat and, in some currencies, even (slightly) inverse. The rise in interest rates poses a significant challenge for banks. This

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The EBA expects banks to expand their CSRBB framework

Blog

The EBA expects banks to expand their CSRBB framework

The current version of the IRRBB Guidelines, published in 2018, came into force on 30 June 2019. At that time, the IRRBB Guidelines were aligned with the Standards on interest rate risk in the

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Achieving ALM Excellence through Bank Treasury Frameworks

Blog

Achieving ALM Excellence through Bank Treasury Frameworks

Managing banking book risk remains a critical challenge in today’s financial markets and regulatory environment. There are many strategic decisions to be made and banks are having trouble

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RISK MODELING

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Fintegral

is now part of Zanders

In a continued effort to ensure we offer our customers the very best in knowledge and skills, Zanders has acquired Fintegral.

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RiskQuest

is now part of Zanders

In a continued effort to ensure we offer our customers the very best in knowledge and skills, Zanders has acquired RiskQuest.

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Optimum Prime

is now part of Zanders

In a continued effort to ensure we offer our customers the very best in knowledge and skills, Zanders has acquired Optimum Prime.

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