Interest Rate Risk in the Banking Book: Difference between revisions
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IRRBB includes potentially adverse effects on earnings, capital, or both. | IRRBB includes potentially adverse effects on earnings, capital, or both. | ||
Sources of IRRBB include interest rate gaps, basis risk, yield curve risk and option risk. | Sources of IRRBB include interest rate gaps, basis risk, yield curve risk and option risk. | ||
Revision as of 13:28, 11 November 2016
Bank supervision - capital adequacy.
(IRRBB).
IRRBB deals with the risks associated with a change in interest rates, and affecting a bank's banking book, as opposed to its trading book.
IRRBB includes potentially adverse effects on earnings, capital, or both.
Sources of IRRBB include interest rate gaps, basis risk, yield curve risk and option risk.
IRRBB is treated by most regulators as a Pillar 2 risk.
