Shifting Economical Perspectives: Interest Rate Risk in the Banking Book

Shifting Economical Perspectives: Interest Rate Risk in the Banking Book

In 2018 the Basel committee (primary global standard setter for regulation and supervision of banks) has issued a new standard, implemented as of 2018. It demands that banks use standardized methods to measure their exposure to interest rate risk, instead of bank-developed methods, which was the case before. Standardized methods are always good from a simplicity and comparability point of view, but are they actually accurate enough to capture the risk at stake? Or do we trade off quality of measurements for simplicity with this new implementation? Read it in this article by Kevin de Veer, Thomas Kerkhofs, Hans-Peter Hiddink, Dimana Ivanova, Maartje Schriever & Jack Arkesteijn!

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