Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
Cartography is not a skill you’d expect bank risk managers to possess. Yet those working at lenders in the European Union are attempting to map out the boundary of a previously uncharted risk present in their banking books at the behest of the EU’s banking watchdog.
Existing maps of so-called credit spread risk in the banking book located it only within securities portfolios that banks hold for
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