Bank treasuries grapple with IRRBB data requirements

Banking Book Risk Summit: Data from recent zero rates era not a reliable behavioural indicator


Bank treasuries are wrestling with data inputs, modelling assumptions and stress scenarios for interest rate risks in their loan and deposit books in preparation for the implementation of new international requirements, a conference in London has heard.

"I think the whole concept of data is probably the biggest challenge. For at least 15–20 years people have been trying to measure value-at-risk and it is relatively well established to deal with modelling challenges. As you start looking at your

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