ECB rate risk stress test renews fears over internal models
Banks alarmed by short timeline and opaque supervisory use of IRRBB stress test
The European Central Bank (ECB) has sparked concerns among the banks it supervises that its 2017 stress test, which focuses entirely on interest rate risk in the banking book (IRRBB), could be used to enforce a de facto Pillar 1 capital charge similar in impact – if not in design – to the one rejected at Basel last year.
Many bankers breathed a sigh of relief when Risk.net first carried the news
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