Credit spread risk in the banking book

Bank supervision - capital adequacy.

(CSRBB).

The risk of adverse effects resulting from a change in credit spreads, arising from a bank's 'banking book'.

The banking book means non-trading activities, contrasted with the 'trading book'.

See also

• Bank supervision
• Banking book
• Capital adequacy
• Credit risk
• Credit spread
• G+
• IRRBB
• Risk-free rate of return
• Trading book
• Yield