Interest rate risk
First public consultation expected this month in long-running project
ABSTRACT Because publicly available measures of deposit runoff risk are scarce, regulators' models to measure interest rate risk in the banking book are based on very coarse assumptions about the allocation...
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More Interest rate risk articles
Draft rules on interest rate hedging could set back arbitrage fix, critics claim
Charge was felt to be "too difficult to capture" without complex rules
But industry sees less interest rate risk and inversely exposed to volatility
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
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
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