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

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.

On 14 May 2020, Zanders hosted a webinar for asset-liability management (ALM), risk and treasury managers of Western European banks. The goal of the webinar was to discuss this topic and provide banks with recommendations for day-to-day risk measurement and management. This white paper outlines the main insights from the webinar.

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