IBOR Reform in Switzerland, Part III
The Swiss Average Rate Overnight (SARON) is expected to replace CHF LIBOR by the end of 2021. The transition to this new reference rate includes debates concerning the alternative methodologies for compounding SARON. This article aims to provide the latest updates on the Swiss National Working Group’s (NWG) view and latest market development on compounded SARON.
IBOR Reform in Switzerland, Part II
The Swiss Average Rate Overnight (SARON) is expected to replace CHF LIBOR by the end of 2021. The transition to this new reference rate includes debates concerning the alternative methodologies for compounding SARON. This article addresses the challenges associated with the compounding alternatives.
The coronavirus (COVID-19) hit Europe around February 2020, impacting the health of millions of people, leading to thousands of deaths. Businesses in many industries were hit and experienced lower outputs, while the stock markets plunged. Banks are affected not only by increased credit risk on loans to customers, but also by stressed deposit inflows or outflows. This has consequences from both an interest rate risk in the banking book (IRRBB) and liquidity risk perspective.
Managing Capital Adequacy ratios through an open Foreign Exchange position
Since the introduction of the Pillar 1 capital charge for market risk, banks must hold capital for Foreign Exchange (FX) risk, irrespective of whether the open FX position was held on the trading or the banking book. An exception was made for Structural Foreign Exchange Positions, where supervisory authorities were free to allow banks to maintain an open FX position to protect their capital adequacy ratio in this way.
An interview with Martijn Habing (ABN AMRO)
The risk models that banks use are validated by model risk managers. It is their role to determine whether all risks facing the bank have been properly identified. Martijn Habing, head of Model Risk Management (MoRM) at ABN AMRO bank, spoke earlier this year at the Zanders Risk Management Seminar about the extent to which a model can predict the impact of an event. After the seminar, we wanted to hear more about MoRM at ABN AMRO.