IRRBB - Pillar 2 standardised framework - Executive Summary

IRRBB - Pillar 2 standardised framework - Executive Summary

IRRBB - Pillar 2 standardised framework - Executive Summary

FSI Executive Summaries | 24 June 2017PDF version (101kb) | 2 pagesIn April 2016, the Basel Committee on Banking Supervision published a standard on interest rate risk in the banking book (IRRBB) as an update to the Committee's 2004 Principles for the Management and Supervision of Interest Rate Risk. The Standard includes a clearly enumerated standardised framework for measuring IRRBB.

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