Many banks see obstacles to options-based IRRBB hedging
Liquidity, accounting treatment and culture seen as impediments to wider use of swaptions, caps and floors
This article 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.
North American banks use a wider range of instruments than their peers elsewhere to manage interest rate risk in the banking book (IRRBB) – with a particular gulf in the use of swaptions, caps and floors, Risk
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