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BCBS IRRBB pillar 2: The new standard for the banking industry
Journal of Risk Management in Financial Institutions,
10
(3),
282-288
(2017)
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.
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
The full article is available to subscribers to the journal.
Author's Biography
Roberto Virreira Zijderveld works as a Senior Manager of Interest Rate Risk in the Banking Book (IRRBB) policy at Standard Chartered Group. Previously, he was in charge of Group HSBC IRRBB reporting and IRRBB stress test methodology. He was head of asset and liability management (ALM) and balance sheet management (BSM) at Bank of America in Chile, and worked in consulting projects for several global and small banking organisations. He is an industrial engineer, holds an MSc in economics and an MBA from Warwick Business School.
Citation
Zijderveld, Roberto Virreira (2017, August 1). BCBS IRRBB pillar 2: The new standard for the banking industry. In the Journal of Risk Management in Financial Institutions, Volume 10, Issue 3. https://doi.org/10.69554/DDKM1652.
© Henry Stewart
Publications LLP
Publications LLP