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 and Noel BÓKA

Basic information

Original name

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

Authors

SVOBODA, Martin (203 Czech Republic, guarantor, belonging to the institution), Svend REUSE (276 Germany), Annika RÜDER (276 Germany) and Noel BÓKA (276 Germany)

Edition

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

Publisher

ESF MU

Other information

Language

English

Type of outcome

Stať ve sborníku

Field of Study

50206 Finance

Country of publisher

Czech Republic

Confidentiality degree

není předmětem státního či obchodního tajemství

Publication form

electronic version available online

References:

URL

RIV identification code

RIV/00216224:14560/18:00108932

Organization unit

Faculty of Economics and Administration

ISBN

978-80-210-8980-8

UT WoS

000462948800093

Keywords in English

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

Abstract

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.

Links

MUNI/A/0753/2017, interní kód MU

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

Investor: Masaryk University, Category A

Citovat

SVOBODA, Martin, Svend REUSE, Annika RÜDER and 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, p. 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  - JOUR
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 and 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, p.~733-742. ISBN~978-80-210-8980-8.

Detailed Information on Publication Record