88. For measuring and monitoring of IRRBB, institutions should use at least one net interest income …

For measuring and monitoring of IRRBB, institutions should use at least one net interest income measure plus market value changes and at least one economic value measurement method that, in combination, capture all components of IRRBB. Large institutions with cross-border activities, in particular institutions under categories 1 and 2 of the SREP Guidelines, and institutions with complex or sophisticated business models, should use multiple measurement methods for IRRBB, as further specified in Annex II.

4.3.3 Interest rate shock scenarios for ongoing management

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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