Interest Rate Risk in the Banking Book: Difference between revisions
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imported>Doug Williamson (Mend link.) |
imported>Doug Williamson (Mend link.) |
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* [[Interest rate gap]] | * [[Interest rate gap]] | ||
* [[Market risk]] | * [[Market risk]] | ||
* [[Market Risk in the Banking | * [[Market Risk in the Banking Book]] (MRBB) | ||
* [[MCRMR]] | * [[MCRMR]] | ||
* [[NII]] | * [[NII]] | ||
Revision as of 08:56, 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.
