Credit spread risk approach differs among EU banks, survey finds
KPMG survey of more than 90 banks reveals disagreement on how to treat liabilities and loans
European banks still show a wide variety of approaches to measuring the risk of changes in credit spreads in their deposit-taking and loan books, according to the preliminary results of a survey conducted by consultancy KPMG.
Changes in marketwide sentiment towards credit can inflict losses on products in the banking book through movements in credit spreads, but there has been a long-running
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