Curcio, Domenico; Gianfrancesco, Igor; Pansini, Annalisa; … - In: Risk management magazine 17 (2022) 3, pp. 42-52
measure interest rate risk in the banking book (IRRBB), which has been significantly changed on April 2016, when the Basel … Committee on Banking Supervision (BCBS) published the latest update of its measurement standards. The consultation launched by … the European Banking Authority (EBA) on December 2021, aiming at introducing the supervisory outlier test (SOT) on net …