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BCBS IRRBB pillar 2: The new standard for the banking industry

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  • Zijderveld, Roberto Virreira

Abstract

This paper analyses the updated Basel Standards for the Management of interest rate risk in the banking book (IRRBB) focusing on three technical issues: capital, metrics and assumptions. It presents the current thinking on these topics and their linkages with two new principles incorporated by Basel Committee on Banking Supervision (BCBS) in the new document: governance of assumptions and external disclosures.

Suggested Citation

  • Zijderveld, Roberto Virreira, 2017. "BCBS IRRBB pillar 2: The new standard for the banking industry," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 10(3), pages 282-288, August.
    • Handle: RePEc:aza:rmfi00:y:2017:v:10:i:3:p:282-288
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    More about this item

    Keywords

    interest rate risk in the banking book (IRRBB); banking book; asset and liability management (ALM); Basel committee; net interest income (NII); economic value of equity (EVE); modelling assumptions; Pillar III disclosures;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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