+28. To calibrate the amount of internal capital to be held for IRRBB, institutions should use …
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28. To calibrate the amount of internal capital to be held for IRRBB, institutions should use …
To calibrate the amount of internal capital to be held for IRRBB, institutions should use measurement systems and a range of interest rate shock and stress scenarios, which are adapted to the risk profile of the institution in order to quantify the potential scale of any IRRBB effects under adverse conditions.
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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