+56. The systems used to measure IRRBB should be capable of capturing the IRRBB characteristics of …

56. The systems used to measure IRRBB should be capable of capturing the IRRBB characteristics of …

The systems used to measure IRRBB should be capable of capturing the IRRBB characteristics of all products. The systems should also allow the disaggregation of the impact of individual IRRBB instruments and portfolios at the risk level of the non-trading book.

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
  • EBA - Published by the European Banking Authority at https://www.eba.europa.eu/