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Regulator to 'reflect' on IRRBB shocks after rates leap

Once considered too harsh by banks, stress scenarios may even prove too generous

Basel-committee-on-banking-supervision-bcbs
European-banking-authority-eba
Deloitte
Bnp-paribas
Intesa-sanpaolo
Lloyds-banking-group
Groupe-bpce
Europe
Nited-states-us
Rrbb
Conomic-value-of-equity-eve-

Basel's IRRBB shock scenario update delayed by crisis

Recalibration of shocks had been touted for Q3, but wider rethink may now cause delay

Germany
Vespa
Hessen
German
Pablo-hern
Mark-branson
Basel-committee
Basel-committee-on-banking-supervision
Silicon-valley-bank
European-banking-authority
Banking-supervision
Banco-de-espa

After SVB downfall, EBA stress test seeks out unrealised losses

European regulator asks for data on the fair value and sensitivity of bonds and their hedges

European-banking-authority
European-union
European-banking-authority-eba
Silicon-valley-bank
Europe
Fair-value
Fair-value-accounting
Hedge-accounting
Stress-testing
Derivatives
Balance-sheet

EU banks fear Brexit battle over FRTB internal models

Bank of England approach looks easier, but that may not make much difference to model uptake

United-kingdom
Prudential-regulation-authority-pra
Basel-committee-on-banking-supervision-bcbs
European-banking-authority-eba
European-commission-ec
Europe
Nited-kingdom-uk
Equity-derivatives
On-modellable-risk-factors-nmrf-
Frtb
Market-risk

Europe's new IRRBB test: the riddle with no answer

A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible

European-banking-authority-eba
European-commission-ec
Silicon-valley-bank
Europe
Rrbb
Asset-and-liability-management-alm
Banking-book
Deposits
Loans
Net-interest-income
Interest-rate-derivatives

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