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.
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https://probability.nl/wp-content/uploads/2023/12/Quantifying-CSRBB-Shocks-using-PCA-Probability-Partners.png 838 595 PP-Vera https://probability.nl/wp-content/uploads/2014/11/pp-logo3.png PP-Vera2023-12-01 08:38:052024-02-12 15:45:04Quantifying CSRBB Shocks using PCA