By the end of this month banks need to have implemented Credit Spread Risk in the Banking Book. We notice that many banks are still developing methods to measure CSRBB amidst limited regulatory guidance. To validate or challenge your internal discussions, our colleague Maurits van den Oever has investigated a simple and intuitive method to quantify systemic credit spread shocks. He calculates shocks for government bonds with different ratings and maturities which can be easily implemented in your IRRBB framework. Interested in further expanding your CSRBB framework in 2024? Then don’t hesitate to get in touch with our IRRBB lead Corné Ruwaard to exchange thoughts.

In November 2021, we organized a roundtable regarding the application of expert judgment and overrides in behavioral modeling of prepayments and savings, including interest rates, COVID-19, and elasticity of savings.

We have identified six key questions for decision-making with respect to using datasets from external providers. The approach focuses on six key questions regarding definition of default, granularity, scope of application, data sample, number of defaults in the dataset and the availability and quality of the explanatory variables.