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- W2949797589 abstract "Interest rate risk arising from non-trading activities, so called Interest Rate Risk in the Banking Book (IRRBB), becomes more and more important in times of low interest rates. Especially a historical low level of yields within the strategic expansion of maturity transformation stresses the profitability of institutes. Setting a standard for an adequate risk measurement the EBA defined six interest rate risk scenarios. Hence, measuring IRRBB with these scenarios leads to the question whether there is an empirical proof of the forecast quality of these scenarios comparing to the Historical Simulation in a monthly backtesting. In addition, the empirical analysis has the aim to show if the six EBA scenarios generate an adequate forecast quality in case of increasing yields." @default.
- W2949797589 created "2019-06-27" @default.
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- W2949797589 date "2018-01-01" @default.
- W2949797589 modified "2023-09-26" @default.
- W2949797589 title "Interest Rate Risk in the Banking Book (IRRBB) – Forecast quality of the EBA scenarios comparing to the Historical Simulation" @default.
- W2949797589 hasPublicationYear "2018" @default.
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