Interest Rate Risk in the Banking Book: Difference between revisions
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imported>Doug Williamson (Layout.) |
imported>Doug Williamson (Mend link.) |
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''Bank supervision - capital adequacy | ''Bank supervision - capital adequacy'' | ||
(IRRBB). | (IRRBB). | ||
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IRRBB is treated by most regulators as a Pillar 2 risk. | IRRBB is treated by most regulators worldwide as a Pillar 2 risk. | ||
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* [[Basis risk]] | * [[Basis risk]] | ||
* [[Capital adequacy]] | * [[Capital adequacy]] | ||
* [[ | * [[Economic value of equity]] (EVE) | ||
* [[Interest rate risk]] | * [[Interest rate risk]] | ||
* [[Interest rate gap]] | * [[Interest rate gap]] | ||
* [[Market risk]] | * [[Market risk]] | ||
* [[Market Risk in the Banking Book]] (MRBB) | |||
* [[MCRMR]] | * [[MCRMR]] | ||
* [[NII]] | * [[NII]] | ||
* [[Pillar 2]] | * [[Pillar 2]] | ||
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* [[Trading book]] | * [[Trading book]] | ||
* [[Yield curve risk]] | * [[Yield curve risk]] | ||
[[Category:Accounting,_tax_and_regulation]] | |||
[[Category:The_business_context]] | |||
[[Category:Identify_and_assess_risks]] | |||
[[Category:Manage_risks]] | |||
[[Category:Risk_frameworks]] | |||
[[Category:Risk_reporting]] | |||
[[Category:Financial_products_and_markets]] | |||
Latest revision as of 09:24, 24 June 2022
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 worldwide as a Pillar 2 risk.
