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The EBA faces banks with a new supervisory outlier test on net interest income

1 Feb 2022
Sjoerd Blijlevens and Erik Vijlbrief

ALM EBA financial institutions IRRBB risk advisory banks risk management Standard Outlier Test

On 2 December 2021, the European Banking Authority (EBA) published three consultation papers related to its ‘Guidelines on the management of interest rate risk arising from non-trading book activities’ (in short, the IRRBB Guidelines). In this article, we focus on one of these consultation papers, which concerns updates to the supervisory outlier test (SOT) for the Economic Value of Equity (EVE) and the introduction of an SOT for Net Interest Income (NII).

Next step for regulatory IRRBB framework: disclosure requirements

26 Nov 2021
Sjoerd Blijlevens

financial institutions IRRBB risk advisory banks risk management

With the publication of the draft implementing technical standards on disclosure requirements for Interest Rate Risk in the Banking Book (IRRBB), the European Banking Authority (EBA) has taken another step in completing the regulatory IRRBB framework. The standards include both a qualitative and a quantitative template.

How COVID-19 and low interest rates force banks to change their Non-Maturing Deposits modeling

15 Nov 2021
Bas van Oers

deposit interest rate risk financial institutions risk advisory banks risk management risk modeling savings

Managing interest rate and liquidity risk on savings and current accounts is a hot topic for banks in 2021. Risk, ALM, and treasury managers have to navigate changing regulatory requirements, changing withdrawal behavior and deposit pricing strategies due to COVID-19, and decreasing market rates.

On the move for an Operational Resilience Framework

19 Oct 2021
Evert de Vries and Annick van der Wal

Climate change risk complexity & uncertainty corporate finance capital markets corporates credit risk ESG financial institutions operational resilience rating advisory risk advisory banks risk management risk modeling

Currently, for many organizations, operational resilience is at the top of the agenda of the Board and senior management. The COVID-19 pandemic clearly showed how vulnerable societies and organizations can be to unexpected and unforeseen events.

Traveling with bitcoins

16 Jul 2021
Zaid Siddiqi

bitcoin financial institutions fx risk risk advisory banks risk management

In the past 20 years, all industries have felt the impact of technological innovation. In some cases, this impact has been so great that disruption has occurred. A clear and often used example is the travel industry, where companies that did not exist 20 years ago, like AirBnB and Booking.com, are now major players.

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The EBA faces banks with a new supervisory outlier test on net interest income

Next step for regulatory IRRBB framework: disclosure requirements

How COVID-19 and low interest rates force banks to change their Non-Maturing Deposits modeling

On the move for an Operational Resilience Framework

Traveling with bitcoins

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