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Sep, 2017

Credit spread risk in the banking book: Is it material?

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Basel Definition The Basel guidelines (BCBS 368) on Interest Rate Risk in Banking Book (IRRBB) define Credit Spread Risk in the Banking Book (CSRBB) as a related risk to IRRBB that refers to any kind of asset/liability spread risk of credit-risky instruments that is not explained by IRRBB and by the expected credit/jump to default risk. It adds that any change in the market liquidity spreads and market credit spreads that are not specific to the instruments are combined within the definition of CSRBB. The guidelines further explain that CSRBB […]

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