Definition of credit spread risk unclear in EBA proposals
Market participants say banking book guidelines will be difficult to follow
Draft European guidelines on managing interest rate risk in bank deposit and loan books do not define credit spread risk clearly, a conference in London has heard. If the proposals are not clarified, market participants claim they will not be able to monitor the risk as required.
“The definition of credit spread risk in the banking book is not as clear in the guidelines from the European Banking Authority as it is in the Basel Committee on Banking Supervision’s standards. We are missing this
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