Interest Rate Risk in the Banking Book (IRRBB) – Forecast
quality of the EBA scenarios comparing to the Historical
Simulation

D 2018

Interest Rate Risk in the Banking Book (IRRBB) – Forecast quality of the EBA scenarios comparing to the Historical Simulation

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

Základní údaje

Originální název

Interest Rate Risk in the Banking Book (IRRBB) – Forecast quality of the EBA scenarios comparing to the Historical Simulation

Autoři

SVOBODA, Martin (203 Česká republika, garant, domácí), Svend REUSE (276 Německo), Annika RÜDER (276 Německo) a Noel BÓKA (276 Německo)

Vydání

Ostrava, 15th International Scientific Conference on European Financial Systems 2018, od s. 511-520, 10 s. 2018

Nakladatel

VŠB-TU of Ostrava

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

tištěná verze "print"

Kód RIV

RIV/00216224:14560/18:00104601

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-248-4225-7

Klíčová slova anglicky

Interest Rate RIsk; Banking Book; IRRBB; Forecast Quality; EBA Guidelines; EBA scenarios; Historical Simulation; Value at Risk

Štítky

Banking Book, EBA Guidelines, EBA scenarios, Forecast Quality, Historical Simulation, Interest Rate Risk, IRRBB, Value at Risk

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 14. 10. 2019 14:33, Noel Opala, M.Sc.

Anotace

V originále

Interest rate risk arising from non-trading activities, so called Interest Rate Risk in the Banking Book (IRRBB), becomes more and more important in times of low interest rates. Especially a historical low level of yields within the strategic expansion of maturity transformation stresses the profitability of institutes. Setting a standard for an adequate risk measurement the EBA defined six interest rate risk scenarios. Hence, measuring IRRBB with these scenarios leads to the question whether there is an empirical proof of the forecast quality of these scenarios comparing to the Historical Simulation in a monthly backtesting. In addition, the empirical analysis has the aim to show if the six EBA scenarios generate an adequate forecast quality in case of increasing yields.

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) – Forecast quality of the EBA scenarios comparing to the Historical Simulation. In Miroslav Čulík. 15th International Scientific Conference on European Financial Systems 2018. Ostrava: VŠB-TU of Ostrava, 2018, s. 511-520. ISBN 978-80-248-4225-7.

@inproceedings{1471511,
   author = {Svoboda, Martin and Reuse, Svend and Rüder, Annika and Bóka, Noel},
   address = {Ostrava},
   booktitle = {15th International Scientific Conference on European Financial Systems 2018},
   editor = {Miroslav Čulík},
   keywords = {Interest Rate RIsk; Banking Book; IRRBB; Forecast Quality; EBA Guidelines; EBA scenarios; Historical Simulation; Value at Risk},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Ostrava},
   isbn = {978-80-248-4225-7},
   pages = {511-520},
   publisher = {VŠB-TU of Ostrava},
   title = {Interest Rate Risk in the Banking Book (IRRBB) – Forecast quality of the EBA scenarios comparing to the Historical Simulation},
   year = {2018}
}

TY  - JOUR
ID  - 1471511
AU  - Svoboda, Martin - Reuse, Svend - Rüder, Annika - Bóka, Noel
PY  - 2018
TI  - Interest Rate Risk in the Banking Book (IRRBB) – Forecast quality of the EBA scenarios comparing to the Historical Simulation
PB  - VŠB-TU of Ostrava
CY  - Ostrava
SN  - 9788024842257
KW  - Interest Rate RIsk
KW  - Banking Book
KW  - IRRBB
KW  - Forecast Quality
KW  - EBA Guidelines
KW  - EBA scenarios
KW  - Historical Simulation
KW  - Value at Risk
N2  - Interest rate risk arising from non-trading activities, so called Interest Rate Risk in the Banking Book (IRRBB), becomes more and more important in times of low interest rates. Especially a historical low level of yields within the strategic expansion of maturity transformation stresses the profitability of institutes. Setting a standard for an adequate risk measurement the EBA defined six interest rate risk scenarios. Hence, measuring IRRBB with these scenarios leads to the question whether there is an empirical proof of the forecast quality of these scenarios comparing to the Historical Simulation in a monthly backtesting. In addition, the empirical analysis has the aim to show if the six EBA scenarios generate an adequate forecast quality in case of increasing yields.
ER  -

SVOBODA, Martin, Svend REUSE, Annika RÜDER a Noel BÓKA. Interest Rate Risk in the Banking Book (IRRBB) – Forecast quality of the EBA scenarios comparing to the Historical Simulation. In Miroslav Čulík. \textit{15th International Scientific Conference on European Financial Systems 2018}. Ostrava: VŠB-TU of Ostrava, 2018, s.~511-520. ISBN~978-80-248-4225-7.

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