Interest Rate Risk in the Banking Book (IRRBB) – Comparing
Variance/Covariance with Historical Simulation and Several
Copula Functions with Focus on the Actual EBA Guidelines

D 2018

Interest Rate Risk in the Banking Book (IRRBB) – Comparing Variance/Covariance with Historical Simulation and Several Copula Functions with Focus on the Actual EBA Guidelines

SVOBODA, Martin; Svend REUSE; Annika RÜDER a Noel BÓKA

Základní údaje

Originální název

Interest Rate Risk in the Banking Book (IRRBB) – Comparing Variance/Covariance with Historical Simulation and Several Copula Functions with Focus on the Actual EBA Guidelines

Autoři

SVOBODA, Martin ; Svend REUSE; Annika RÜDER a Noel BÓKA

Vydání

Brno, European Financial Systems 2018 - Proceedings of the 15th International Scientific Conference, od s. 733-742, 10 s. 2018

Nakladatel

ESF MU

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50206 Finance

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

elektronická verze "online"

Odkazy

URL

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/18:00108932

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-210-8980-8

UT WoS

000462948800093

Klíčová slova anglicky

Interest Rate Risk; Banking Book; IRRBB; Variance/Covariance; Historical Simulation; Copula; EBA Guidelines

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 11. 5. 2020 13:49, Mgr. Pavel Sedláček

Anotace

V originále

Interest rate risk and its measurement are important for banks worldwide. Strategic maturity transformation positions in combination with the historical low level of yields leads to the question, whether the standard risk measurement models as variance/covariance or historical simulation lead do adequate results. This article answers this question and offers an empirical analysis in which several alternative Copula functions are used to quantify interest rate risk. The results are compared to the EBA guidelines on IRRBB. The aim is to show if the six interest rate risk scenarios that are defined by the EBA are an adequate measurement method.

Návaznosti

MUNI/A/0753/2017, interní kód MU

Název: Behaviorální, znalostní a ekonomické aspekty ovlivňující investiční rozhodování subjektů

Investor: Masarykova univerzita, Behaviorální, znalostní a ekonomické aspekty ovlivňující investiční rozhodování subjektů, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

SVOBODA, Martin; Svend REUSE; Annika RÜDER a Noel BÓKA. Interest Rate Risk in the Banking Book (IRRBB) – Comparing Variance/Covariance with Historical Simulation and Several Copula Functions with Focus on the Actual EBA Guidelines. Online. In Josef Nešleha, Filip Hampl, Miroslav Svoboda. European Financial Systems 2018 - Proceedings of the 15th International Scientific Conference. Brno: ESF MU, 2018, s. 733-742. ISBN 978-80-210-8980-8.

@inproceedings{1471498,
   author = {Svoboda, Martin and Reuse, Svend and Rüder, Annika and Bóka, Noel},
   address = {Brno},
   booktitle = {European Financial Systems 2018 - Proceedings of the 15th International Scientific Conference},
   editor = {Josef Nešleha, Filip Hampl, Miroslav Svoboda},
   keywords = {Interest Rate Risk; Banking Book; IRRBB; Variance/Covariance; Historical Simulation; Copula; EBA Guidelines},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {Brno},
   isbn = {978-80-210-8980-8},
   pages = {733-742},
   publisher = {ESF MU},
   title = {Interest Rate Risk in the Banking Book (IRRBB) – Comparing Variance/Covariance with Historical Simulation and Several Copula Functions with Focus on the Actual EBA Guidelines},
   url = {https://is.muni.cz/do/econ/sborniky/2018/Proceedings_finalni_verze_September_3.pdf},
   year = {2018}
}

TY  - CONF
ID  - 1471498
AU  - Svoboda, Martin - Reuse, Svend - Rüder, Annika - Bóka, Noel
PY  - 2018
TI  - Interest Rate Risk in the Banking Book (IRRBB) – Comparing Variance/Covariance with Historical Simulation and Several Copula Functions with Focus on the Actual EBA Guidelines
PB  - ESF MU
CY  - Brno
SN  - 9788021089808
KW  - Interest Rate Risk
KW  - Banking Book
KW  - IRRBB
KW  - Variance/Covariance
KW  - Historical Simulation
KW  - Copula
KW  - EBA Guidelines
UR  - https://is.muni.cz/do/econ/sborniky/2018/Proceedings_finalni_verze_September_3.pdf
L2  - https://is.muni.cz/do/econ/sborniky/2018/Proceedings_finalni_verze_September_3.pdf
N2  - Interest rate risk and its measurement are important for banks worldwide. Strategic maturity transformation positions in combination with the historical low level of yields leads to the question, whether the standard risk measurement models as variance/covariance or historical simulation lead do adequate results. This article answers this question and offers an empirical analysis in which several alternative Copula functions are used to quantify interest rate risk. The results are compared to the EBA guidelines on IRRBB. The aim is to show if the six interest rate risk scenarios that are defined by the EBA are an adequate measurement method.
ER  -

SVOBODA, Martin; Svend REUSE; Annika RÜDER a Noel BÓKA. Interest Rate Risk in the Banking Book (IRRBB) – Comparing Variance/Covariance with Historical Simulation and Several Copula Functions with Focus on the Actual EBA Guidelines. Online. In Josef Nešleha, Filip Hampl, Miroslav Svoboda. \textit{European Financial Systems 2018 - Proceedings of the 15th International Scientific Conference}. Brno: ESF MU, 2018, s.~733-742. ISBN~978-80-210-8980-8.

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