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Audio May 13, 2026

How Banks Are Rewriting IRRBB Modelling for a Higher for Longer World

Suresh Sankaran, Chief Executive Officer, KKCL Consulting

Germar Knochlein, Head of Division

Hadrien van der Vaeren, SVP, Market and Liquidity Risk

A rare joint view from the ECB, BNY, and NatWest on how banks are adapting IRRBB modelling, behavioural assumptions, and hedging frameworks for a higher for longer world. The panel explores regulatory divergence, modelling weaknesses, and why faster shock cycles demand more dynamic, scenario driven approaches.

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The panel makes clear that IRRBB has entered a new era of complexity. Regulatory divergence across the US, UK, and EU is widening, creating three competing frameworks that banks must reconcile while still producing coherent internal metrics for management. Supervisors are sharpening their focus on behavioural modelling, especially NMDs,  and expect banks to justify segmentation, competitive dynamics, and digital‑era withdrawal behaviour. As the ECB noted, “we would have spotted what was going on” in cases like SVB, underscoring the expectation that banks integrate regulatory constraints into real balance‑sheet decision‑making rather than treat them as parallel worlds.

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