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

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F18%3A00104601" target="_blank" >RIV/00216224:14560/18:00104601 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Interest Rate Risk in the Banking Book (IRRBB) – Forecast quality of the EBA scenarios comparing to the Historical Simulation
Original language description
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.
Czech name
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Czech description
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Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
15th International Scientific Conference on European Financial Systems 2018
ISBN
9788024842257
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
511-520
Publisher name
VŠB-TU of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Jun 25, 2018
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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