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.
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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
Original language English
Type of outcome Proceedings paper
Field of Study 50206 Finance
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
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
Tags Banking Book, EBA Guidelines, EBA scenarios, Forecast Quality, Historical Simulation, Interest Rate Risk, IRRBB, Value at Risk
Tags International impact, Reviewed
Changed by Changed by: Noel Opala, M.Sc., učo 487535. Changed: 14/10/2019 14:33.
Abstract
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 MUName: Behaviorální, znalostní a ekonomické aspekty ovlivňující investiční rozhodování subjektů
Investor: Masaryk University, Category A
PrintDisplayed: 27/8/2024 20:52