IRRBB: Difference between revisions
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* [[EVE]] | * [[EVE]] | ||
* [[Interest rate risk]] | * [[Interest rate risk]] | ||
* [[Interest Rate Risk in the Banking Book]] | |||
* [[Interest rate gap]] | * [[Interest rate gap]] | ||
* [[Market risk]] | * [[Market risk]] | ||
Revision as of 13:26, 11 November 2016
Bank supervision - capital adequacy.
Interest Rate Risk in the Banking Book.
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.
