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 and Noel BÓKA

Basic information

Original name

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

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

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

Publisher

VŠB-TU of Ostrava

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

printed version "print"

RIV identification code

RIV/00216224:14560/18:00104601

Organization unit

Faculty of Economics and Administration

ISBN

978-80-248-4225-7

Keywords in English

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

Abstract

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.

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) – 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, p. 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 and 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, p.~511-520. ISBN~978-80-248-4225-7.

Detailed Information on Publication Record