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Regulating interest rate risk

The panel

  • Steven Good, Director, ALM, FTP and liquidity risk product management, SS&C Algorithmics
  • Adrian Docherty, Head of bank advisory, BNP Paribas
  • Yujush Saksena, Managing director, treasury risk, BNY Mellon
  • Eric Schaanning, Director, global head of ALM risk management, Credit Suisse
  • Moderator: Samuel Wilkes, Deputy editor, regulation, Risk.net

Over the past decade, regulators have introduced stress tests, liquidity and funding standards – and overhauled rules specifically on interest rate risk in the banking book (IRRBB) – that have all had some bearing on the current crisis. But they haven’t yet been implemented fully, or equally, from one jurisdiction to another.

Key topics discussed:

  • IRRBB: a global standard that doesn’t apply globally
  • Other regulatory tools: stress tests, liquidity coverage ratio and net stable funding ratio
  • Is the current framework fit for purpose?

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