The regulation of interest rate risk in the banking book has been going through a relevant evolution. The study examines the introduction of six new interest rate shock scenarios, the adoption of a minimum post-shock interest rate, which is negative and increasing with the maturity, in the case of downward scenarios, and the provision of a new transmission criterion of the interest rates shock to the bank economic value. Based on the results referred to a sample of less significant Italian banks, the new rules prove to be more prudential and better suited to anticipate the evolution of a bank's actual exposure.
How Do Regulation and Financial Markets Conditions Affect Interest Rate Risk Exposure: Evidence from Italian Commercial Banks / Cocozza, Rosa; Curcio, Domenico. - (2021). (Intervento presentato al convegno 37th EBES CONFERENCE PROGRAM tenutosi a BERLIN, GERMANY (Online/Virtual Presentation Only) nel 6-8 ottobre 2021).
How Do Regulation and Financial Markets Conditions Affect Interest Rate Risk Exposure: Evidence from Italian Commercial Banks
Rosa Cocozza;Domenico Curcio
2021
Abstract
The regulation of interest rate risk in the banking book has been going through a relevant evolution. The study examines the introduction of six new interest rate shock scenarios, the adoption of a minimum post-shock interest rate, which is negative and increasing with the maturity, in the case of downward scenarios, and the provision of a new transmission criterion of the interest rates shock to the bank economic value. Based on the results referred to a sample of less significant Italian banks, the new rules prove to be more prudential and better suited to anticipate the evolution of a bank's actual exposure.File | Dimensione | Formato | |
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