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- W4200621273 abstract "The common definition of Interest Rate Risk in the Banking Book (IRRBB) describes the threat to the capital position and earnings of a bank driven by changes in the interest rates in the market. Hedging of IRRBB is based on the behavioural basis, which means that getting the behavioural assumptions wrong may easily lead to the over- or under-hedging of an interest rate risk position. Basis risk itself has a number of subcategories: repricing risk, yield risk, optionality risk, and basis risk. The chapter focuses on the IRRBB requirements in Europe. The updated IRRBB European Banking Authority Guidelines impose the inclusion of the nonperforming exposures into the IRRBB “equation”. Banks use behavioural models to better measure and manage IRRBB and hedging is performed on a behavioural basis. The chapter provides an overview of interest rate shocks which can be applied in the calculations of delta Economic Value of Equity." @default.
- W4200621273 created "2021-12-31" @default.
- W4200621273 date "2021-11-02" @default.
- W4200621273 modified "2023-09-26" @default.
- W4200621273 title "What is <scp>IRRBB</scp> and why is it important?" @default.
- W4200621273 doi "https://doi.org/10.1002/9781119755043.ch1" @default.
- W4200621273 hasPublicationYear "2021" @default.
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