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White paper The impact of COVID-19 on deposit interest rate risk at banks

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.

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Structural Foreign Exchange Risk in practice

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.

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“Validation is much more than a mathematical exercise”

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.

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IBOR transition effects for the insurance industry

The end of the IBOR era is near and IBOR transitions are a big challenge for both the regulators and the insurance industry. Survey results have revealed that most of the insurance firms already have a formal transition plan in place. However, these often lack details, unified planning, and strategizing investment priorities. Nevertheless, we need to anticipate for the transition before the end of 2021.

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Insurers at the boiling point

Financial impact of COVID-19

At the beginning of 2020, the coronavirus COVID-19 disrupted the world in a manner that hardly anyone was prepared for. A vast amount of resources is required to get through this phase. For insurance companies, this means facing greater uncertainty regarding the management of financial risks on their balance sheet at a time when they are already dealing with the low interest rate environment and major regulatory changes, such as IFRS 17.

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