BCBS IRRBB pillar 2: The new standard for the banking industry

Roberto Virreira Zijderveld

Journal of Risk Management in Financial Institutions, 2017, vol. 10, issue 3, 282-288

Abstract: This paper analyses the updated Basel Standards for the Management of interest rate risk in the banking book (IRRBB) focusing on three technical issues: capital, metrics and assumptions. It presents the current thinking on these topics and their linkages with two new principles incorporated by Basel Committee on Banking Supervision (BCBS) in the new document: governance of assumptions and external disclosures.

Keywords: interest rate risk in the banking book (IRRBB); banking book; asset and liability management (ALM); Basel committee; net interest income (NII); economic value of equity (EVE); modelling assumptions; Pillar III disclosures (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:aza:rmfi00:y:2017:v:10:i:3:p:282-288

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