Bank treasuries grapple with IRRBB data requirements

Banking Book Risk Summit: Data from recent zero rates era not a reliable behavioural indicator

data-overload

Bank treasuries are wrestling with data inputs, modelling assumptions and stress scenarios for interest rate risks in their loan and deposit books in preparation for the implementation of new international requirements, a conference in London has heard.

"I think the whole concept of data is probably the biggest challenge. For at least 15–20 years people have been trying to measure value-at-risk and it is relatively well established to deal with modelling challenges. As you start looking at your

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net 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 Risk.net? View our subscription options

Register

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

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net 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