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The EBA expects banks to expand their CSRBB framework

2 Feb 2022
Gijs Immerman and Erik Vijlbrief

ALM csrbb EBA financial institutions IRRBB non-satisfactory repricing risk advisory banks risk management Standard Outlier Test

On 2 December 2021, the European Banking Authority (EBA) published three consultation papers related to its ‘Guidelines on the management of interest rate risk arising from non-trading book activities’ (in short, the IRRBB Guidelines). In this article, we focus on one of these consultation papers, concerning the update of the IRRBB Guidelines.

The EBA faces banks with a new supervisory outlier test on net interest income

1 Feb 2022
Sjoerd Blijlevens and Erik Vijlbrief

ALM EBA financial institutions IRRBB risk advisory banks risk management Standard Outlier Test

Next step for regulatory IRRBB framework: disclosure requirements

26 Nov 2021
Sjoerd Blijlevens

financial institutions IRRBB risk advisory banks risk management

With the publication of the draft implementing technical standards on disclosure requirements for Interest Rate Risk in the Banking Book (IRRBB), the European Banking Authority (EBA) has taken another step in completing the regulatory IRRBB framework. The standards include both a qualitative and a quantitative template.

New Swiss standard on interest-rate risk in the banking book (IRRBB)

29 May 2018
Martijn Wycisk and Sjoerd Blijlevens

financial institutions IRRBB risk advisory banks risk management risk modeling

One of the most fundamental drivers for a retail bank’s net interest income is inherent in the bank’s balance sheet structure and is related to the fact that assets and liabilities do not have similar maturities.

ING’s benchmarks for a constant stream of income

10 Apr 2018
Erik Vijlbrief

financial institutions IRRBB risk advisory banks risk management

In 2014, with its Think Forward strategy, ING set the goal to further standardize and streamline its organization. At the time, changes in international regulations were also in full swing. So far so good, but what did all this mean for risk management at the bank? We asked ING’s Constant Thoolen and Gilbert van Iersel.

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The EBA expects banks to expand their CSRBB framework

The EBA faces banks with a new supervisory outlier test on net interest income

Next step for regulatory IRRBB framework: disclosure requirements

New Swiss standard on interest-rate risk in the banking book (IRRBB)

ING’s benchmarks for a constant stream of income

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