EVE and NII dominate IRRBB limit-setting
ALM Benchmarking study finds majority of banks relying on hard risk limits, and a minority supplementing with early-warning indicators
This piece is part of a series benchmarking bank ALM practices. Risk Management subscribers can view selected cuts of the underlying data here. Sign up for Risk Benchmarking emails here.
Almost nine in 10 banks (89%) treat net interest income (NII) sensitivity as a primary metric for governing interest rate risk in their banking books (IRRBB), according to Risk.net’s inaugural asset-liability
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