Bankers fear confusion over Basel IRRBB disclosures

Differing discount methods and EVE approach will need explaining to investors

Under scrutiny: some investors might be confused as the methodology is not sufficiently standardised, say bankers

Public disclosure of interest rate stress impacts as part of Basel regulatory requirements for non-traded risk could cause confusion among investors, because the methodology is not sufficiently standardised, according to bankers at a conference in London.

"Basel gives you the ability to use either the risk-free discount rate or [to include] the different rates you see on different products with different risk profiles. So in the end, I think when you use full cashflows, for instance, you have

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

Most read articles loading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here