A hearing aid has means (15) for detecting fast transients in the input signal and means (16, 12, 13) for attenuating the detected transients prior to presenting the signal with the attenuated transients to a user. Detection is performed by measuring the peak difference of the signal upstream of a band split filter bank (11) and comparing the peak difference against at least one peak difference limit. Then, if a transient is detected, a state machine (20) analyzes the peak level and the absolute average level of the signal and engages a gain calculator (12) to follow either the peak level or the absolute average level of the input signal for at least the duration of the transient in order to attenuate the transient. The engagement of the gain calculator (12) is performed in each frequency band dependent of the detected transient. The invention further provides a method for detecting fast transients.