On 19 July 2018, the EBA adopted its final guidelines on minimum interest rate risk management standards in the banking book („Guidelines for the Management of Interest Rate Risk arising from non-trading book positions“ EBA/GL/2018/2). In this article we want to focus on the impact of interest options and the methods for taking into account implicit and explicit options in the risk measurement. Doing so, it is possible to clarify – with respect of prudential supervision – the amount by which interest rate option increase or reduce the risk in the banking book and, if so, redefine the bank‘s interest rate risk strategy.
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