Basel’s cherry-picking toughens IRRBB shock scenarios
European banks want higher outlier thresholds to offset higher confidence level in new standard
Ever since the Basel Committee on Banking Supervision’s post-2008 masterplan was completed a decade later, international regulators have tried to limit themselves to relatively small updates. But sometimes even a small update can quickly turn into a larger remodel. Bank treasurers are worried a supposedly minor redesign to supervisory tools used for gauging the interest rate risk in deposit and loan books could turn into a major headache.
The latest proposed modification affects a series of
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