Essays about: "IRRBB"
Found 4 essays containing the word IRRBB.
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1. Modeling Interest Rate Risk in the Banking Book
University essay from KTH/Matematik (Avd.)Abstract : For a long time, being able to model and mitigate financial risk has been a key success factor for institutions. Apart from an internal incentive, legal and regulatory requirements continue to develop which increases the need for extensive internal risk control. READ MORE
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2. Modelling of Non-Maturity Deposits
University essay from Umeå universitet/Institutionen för fysikAbstract : Ever since the financial crisis in 2008 non-maturity deposits (NMDs) have had a floored deposit rate at zero. Now due to external factors some speculate that the market rate will increase. Regulations say that NMDs core deposits, which are used for further investments, must remove their rate sensitive part. READ MORE
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3. A Study Evaluating the Liquidity Risk for Non-Maturity Deposits at a Swedish Niche Bank
University essay from KTH/Matematisk statistikAbstract : Since the 2008 financial crisis, the interest for the subject area of modelling non-maturity deposits has been growing quickly. The area has been widely analysed from the perspective of a traditional bank where customers foremost have transactional and salary deposits. However, in recent year the Swedish banking sector has become more digitized. READ MORE
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4. IRRBB in a Low Interest Rate Environment
University essay from KTH/Matematisk statistikAbstract : Financial institutions are exposed to several different types of risk. One of the risks that can have a significant impact is the interest rate risk in the bank book (IRRBB). In 2018, the European Banking Authority (EBA) released a regulation on IRRBB to ensure that institutions make adequate risk calculations. READ MORE