+33. The institution’s risk appetite for IRRBB should be express ed in terms of the acceptable …
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33. The institution’s risk appetite for IRRBB should be express ed in terms of the acceptable …
The institution’s risk appetite for IRRBB should be express ed in terms of the acceptable impact of fluctuating interest rates on both IRRBB measures should be reflected in limits. Institutions with significant exposures to gap risk, basis risk or option risk should determine their risk appetite in relation to each of these material sub-types of IRRBB.
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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