Interest rate risk
QIS was due to get under way last month but will now start in mid-2015
First consultation paper on banking book interest rate exposure is expected in March
A highly engaging intensive one-week programme designed to meet the demands of the risk professional by bridging the gap between theory and practice in financial risk management. Save your seat now: programme starts March 23rd 2015.
More Interest rate risk articles
Quarter of firms would suffer negative cashflows in prolonged low interest rate scenario
Regulators could cap the maturity banks assume for large chunks of their deposit base
Current plans unsatisfactory, says industry association
Extracting interest rate sensitivity through bond-based ETFs
Negative carry versus short-term rates is deterring firms from hedging
Artificially low volatility leaves firms nervous about the future – and looking for fixed-income alternatives
Sponsored statement: Moody's Analytics
Basel Committee taskforce starts work to develop a Pillar I charge for interest rate risk in the banking book, but some bankers and former regulators say the challenges will be too great
Race to the bottom
This paper examines the empirical relationship between credit risk and interest rate risk. We use credit default swap (CDS) spreads as our measure of credit risk. Also, we control for the variation in...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.