Custodian and Interest Rate Risk in the Banking Book: Difference between pages

Revision as of 08:00, 13 November 2016

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.

@@ Line 1: / Line 1: @@
-.
+''Bank supervision - capital adequacy''
-An organisation that undertakes the role of holding and accounting for assets, including cash, and investment income in an investment portfolio on behalf of Trustees or an investment manager.
+(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.
-.
-Any organisation or individual that holds assets on behalf of another organisation or individual.
+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.
 == See also ==
-* [[Agent bank]]
+* [[Banking book]]
-* [[Custody]]
+* [[Basis risk]]
-* [[Custody risk]]
+* [[Capital adequacy]]
-* [[Global custodian]]
+* [[EVE]]
-* [[Securities settlement system]]
+* [[Interest rate risk]]
-* [[Sub-custodian]]
+* [[Interest rate gap]]
-* [[Trustees]]
+* [[Market risk]]
+* [[MCRMR]]
-[[Category:Identify_and_assess_risks]]
+* [[MRBB]]
-[[Category:Manage_risks]]
+* [[NII]]
-[[Category:Risk_frameworks]]
+* [[Pillar 2]]
-[[Category:Risk_reporting]]
+* [[Option risk]]
-[[Category:Cash_management]]
+* [[Shock]]
-[[Category:Financial_products_and_markets]]
+* [[Trading book]]
-[[Category:Liquidity_management]]
+* [[Yield curve risk]]