EU could impose negative rate shocks via IRRBB rules
EBA guidance on shocks is “outdated”, says ECB official
European banks may be forced to consider the impact of negative interest rates on their loan and deposit portfolios, a supervisor at the European Central Bank (ECB) has indicated.
Guidelines on interest rate risk issued in 2015 floored falling-rates shocks at 0%, but this stance could be abandoned when Europe implements new standards on interest rate risk in the banking book (IRRBB).
"This is quite an important issue at the current juncture: how much focus to put on a downward scenario and
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