Basel to unveil ‘Pillar 1-lite’ approach to rate risk
First public consultation expected this month in long-running project
A flexible approach to setting capital requirements for the interest rate risk on loans and deposits is set to share key elements of the originally planned rigid, standardised approach, according to industry and regulatory sources.
The competing visions for the regulation of interest rate risk in the banking book (IRRBB) are expected to be laid out for the first time in a Basel Committee on Banking Supervision consultation paper this month. The standardised treatment – a so-called Pillar 1
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 print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Asset liability management
ALM and liquidity risk reporting greatly enhanced by big data applications
Sponsored video: Luis Mataias, IBM Watson Financial Services
Leading the way in the risk management (r)evolution
Sponsored feature: Prometeia
Insurers must perform balancing act
Winners' Circle: RBS
Stress testing in non-normal markets via entropy pooling
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing
In-depth introduction: Bonds
Interplay between rules could reshape demand for government debt
Tail risk premiums versus pure alpha
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Multiperiod portfolio selection and Bayesian dynamic models
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
Impact study postponed for Basel rate-risk project
QIS was due to get under way last month but will now start in mid-2015
