Credit spread risk: the cryptic peril on bank balance sheets
Some bankers fear EU regulatory push on CSRBB has done little to improve risk management
If you happen to mention the acronym CSRBB to Europe’s banking book risk managers, there might be an awkward pause in the conversation. There are some who believe a regulatory push to improve the measurement and management of credit spread risk has brought benefits, but many think the results don’t justify the effort.
“CSRBB is just a massive waste of time,” says a senior risk modeller at a European bank.
The terse response of one risk manager at a second European bank when asked if they were
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