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- W2738005511 abstract "The low interest rate environment has made Interest Rate in the Banking Book (IRRBB) an interesting topic. The Basel Comittee on Banking Supervision (BCBS) made new guidelines for regulations available in April 2016. It stated that both delta EVE and delta NII as economic value and earnings perspectives to IRRBB should be taken into account when assessing IRRBB. Several studies have shown that these perspectives relate to each other and can even cause a trade-off when minimising both. Present study is performed to investigate this trade-off and the use of delta EVE and delta NII measures. By means of a case study and balance sheet data made available by a Dutch bank this trade-off was assessed. A Linear Programming (LP) model was constructed to optimise the hedging portfolio based on IRRBB constraints. The results indicate that for this specific data set the delta EVE and delta NII had very little impact on each other. It also can be derived that plain vanilla swaps could effectively hedge the delta EVE and delta NII." @default.
- W2738005511 created "2017-07-31" @default.
- W2738005511 creator A5045330120 @default.
- W2738005511 date "2017-01-01" @default.
- W2738005511 modified "2023-09-27" @default.
- W2738005511 title "Interest Rate Risk in the Banking Book: The trade-off between delta EVE and delta NII" @default.
- W2738005511 hasPublicationYear "2017" @default.
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