EBA to weigh in on credit spread risk conundrum
Industry confusion persists over which products in banking book are affected by spread changes
The European Union’s banking standard-setter is preparing to provide clarity on a little understood risk in lenders’ banking books. The guidance will come amid diverging views among banks on the extent to which their books are exposed to generalised shifts in credit spreads.
“We are still in some kind of wait and see mode,” says a risk manager at a European bank. “We are expecting some more precise
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