CDF 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: @@
-''Financial maths''.
+''Bank supervision - capital adequacy''
-Cumulative Discount Factor.
+(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.
 == See also ==
-* [[Annuity factor]]  (AF)
+* [[Banking book]]
-* [[Cumulative Discount Factor]]
+* [[Basis risk]]
-* [[Discount factor]]  (DF)
+* [[Capital adequacy]]
+* [[EVE]]
-[[Category:The_business_context]]
+* [[Interest rate risk]]
+* [[Interest rate gap]]
+* [[Market risk]]
+* [[MCRMR]]
+* [[MRBB]]
+* [[NII]]
+* [[Pillar 2]]
+* [[Option risk]]
+* [[Shock]]
+* [[Trading book]]
+* [[Yield curve risk]]