Structural interest rate risk is the term many banks use internally for interest rate risk in the banking book: the risk to a bank's earnings and economic value from changes in interest rates acting on its loans, deposits, investment holdings and funding, as opposed to positions taken for trading. The main entry sets out how this risk is measured, limited and supervised.
The word "structural" reflects the source of the exposure. It arises from the make-up of the balance sheet itself, because assets and liabilities reprice at different times and on different bases, and because customers can repay loans early or withdraw deposits. The label is common in continental European and Latin American banks, whose reports often speak of structural balance sheet risks, covering interest rate, currency and liquidity positions together. Regulators generally use the banking book term instead.
The risk is managed by the treasury function under asset liability management. Common measures are the repricing gap, the sensitivity of net interest income and the sensitivity of economic value of equity to set rate shocks.