Filling the gaps in Basel’s
interest rate risk measures
At the start of 2023, the failure of three US banks and the demise of a European heavyweight sent shockwaves through the banking system. Despite fears of contagion, and significant depositor outflows, banks have remained resilient. But interest rates have continued to rise as central banks act to curb inflation, putting pressure on portfolios, reducing liquidity and increasing funding costs. The new rapidly changing rate, liquidity and capital environment caught many banks unprepared but, with the spectre of higher interest rates lingering, there will likely be further pain to come.
This special report explores the ongoing impact of higher interest rates on bank capital and liquidity, and the steps they are taking to shore up their liquidity risk management practices in the current environment.
Interest rate
& liquidity risk
Special report 2023
Basel IRRBB
rules
Introduction
For enquires and information regarding Risk.net special reports, contact:
Antony Chambers
Publisher
+44 (0)20 7316 9683
antony.chambers@infopro-digital.com
Interest rate and
liquidity risk
Treasury official says non-bank interdealer market share jumped 10% in March as dealers retreated
PTFs piled into US Treasuries
during SVB collapse
Market
stress
QT could force banks to sell bonds during stress, underlining need for fair value accounting
Don’t count on repo to monetise liquidity books, say experts
Liquidity
facilities
A panel of industry experts discusses the challenges posed to banks’ capital and liquidity by a persistently higher interest rate environment. They also share insights on adapting their liquidity risk management strategies, tools and technologies for a new era
How higher interest rates are
affecting bank liquidity
Sponsored
Q&A
Treasury official says non-bank interdealer market share rose 10 percentage points in March as dealers retreated
PTFs piled into US Treasuries
during SVB collapse
Market
stress
QT could force banks to sell bonds during stress, underlining need for fair value accounting
Don’t count on repo to monetise liquidity books, say experts
Liquidity
facilities
JP Morgan's Emea CFO says capital requirements will mean banks lose business to non-banks
Could excessive regulation make bank stocks uninvestable?
Regulatory
view
This year’s CCAR faced criticism for underweighting the risk of higher-for-longer inflation
Do all roads lead to multi-scenario Fed stress tests?
Stress-testing
A panel of industry experts discusses the challenges posed to banks’ capital and liquidity by a persistently higher interest rate environment. They also share insights on adapting their liquidity risk management strategies, tools and technologies for a new era
How higher interest rates are
affecting bank liquidity
PTFs piled into US Treasuries during SVB collapse
Market stress
Don’t count on repo to monetise liquidity books, say experts
Liquidity facilities
Could excessive regulation make bank stocks uninvestable?
Regulatory
view
Do all roads lead to multi-scenario Fed stress tests?
Stress-testing
For enquires and information regarding Risk.net special reports, contact:
Antony Chambers
Publisher
+44 (0)20 7316 9683
antony.chambers@infopro-digital.com
Special report 2023
Special report 2023
Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage
Filling the gaps in Basel’s
interest rate risk measures
Basel IRRBB
rules
JP Morgan's Emea CFO says capital requirements will mean banks lose business to non-banks
Could excessive regulation make bank stocks uninvestable?
Regulatory
view
This year’s CCAR faced criticism for underweighting the risk of higher-for-longer inflation
Do all roads lead to multi-scenario Fed stress tests?
Stress-testing
Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage
Filling the gaps in Basel’s
interest rate risk measures
Basel II
measures
Six months on from the failures of Silicon Valley Bank (SVB) and Credit Suisse, lessons are clearer and regulators are now getting their ducks in a row.
New trends in interest rate and liquidity risk management
Sponsored webinar
Pierre Gaudin, head of business development at ActiveViam, explains the importance of fast, in-memory data analysis functions in allowing firms to consistently provide senior decision-makers with actionable insights
Revolutionising liquidity management
Sponsored
feature
Six months on from the failures of Silicon Valley Bank and Credit Suisse, lessons are clearer and regulators are now getting their ducks in a row.
New trends in interest rate and liquidity risk management
Sponsored webinar
ActiveViam explains the importance of fast, in-memory data analysis functions in allowing firms to consistently provide senior decision-makers with actionable insights
Revolutionising liquidity
management
Sponsored content
Sponsored Q&A
How higher interest rates are affecting bank liquidity
New trends in interest rate and liquidity risk management
Sponsored webinar
Revolutionising liquidity
management
Sponsored content
