ECB finds holes in banks’ credit spread risk nets
Banks censured for insufficient evidence to support exclusion of products from CSRBB perimeter
The European Central Bank (ECB) is pressurising banks to widen the scope of products they monitor in order to manage credit spread risk on their loan and deposit books, Risk.net has learned.
“It can be very frustrating,” says a risk modeller at a European bank. “We got the findings; we’ll have to spend money and do something about it.”
For some years, banks and regulators have been grappling with the hard-to-define concept of credit spread risk in the banking book (CSRBB). According to European
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