IRRBB: Difference between revisions
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imported>Doug Williamson (Expand.) |
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Interest Rate Risk in the Banking Book. | Interest Rate Risk in the Banking Book. | ||
The | 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. | |||
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* [[EVE]] | * [[EVE]] | ||
* [[Interest rate risk]] | * [[Interest rate risk]] | ||
* [[Interest rate gap]] | |||
* [[Market risk]] | * [[Market risk]] | ||
* [[MCRMR]] | * [[MCRMR]] | ||
* [[MRBB]] | * [[MRBB]] | ||
* [[NII]] | * [[NII]] | ||
* [[Option risk]] | |||
* [[Shock]] | * [[Shock]] | ||
* [[Trading book]] | * [[Trading book]] | ||
* [[Yield curve risk]] | * [[Yield curve risk]] | ||
Revision as of 16:07, 30 October 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.
