What is Irrbb in banking?
Interest rate risk in the banking book (IRRBB) refers to the current or prospective risk to the bank’s capital and earnings arising from adverse movements in interest rates that affect the bank’s banking book positions.
What is the difference between banking book and trading book?
Basics of a Trading Book This differs from a banking book as securities in a trading book are not intended to be held until maturity while the securities in the banking book are going to be held long-term. Securities held in a trading book must be eligible for active trading.
What is FRTB regulation?
The Fundamental Review of the Trading Book (FRTB) is a comprehensive suite of capital rules developed by the Basel Committee on Banking Supervision (BCBS) as part of Basel III, intended to be applied to banks’ wholesale trading activities.
Is Irrbb part of Icaap?
In particular, IRRBB stress testing should be considered in the ICAAP, requiring banks to undertake rigorous, forward-looking stress testing that identifies events of severe changes in market conditions which could adversely impact the bank’s capital or earnings, possibly also through changes in the behaviour of its …
Is Irrbb a market risk?
Interest rate risk in Banking Book (IRRBB) In case of the Banking Book, the main component of the market risk is interest rate risk.
What is non traded market risk?
The purpose of Non-Traded Market Risk team is to support the customer banking book businesses in maintaining stable income from their balance sheet holdings. The income produced by these books may vary as market interest rates, FX rates, business strategy and the regulatory environment evolves.
What is included in the trading book?
A financial institution’s trading book comprises assets intended for active trading. These can include equities, debt, commodities, foreign exchange, derivatives and other financial contracts.
Why is FRTB needed?
FRTB rules require banks to strengthen their existing market risk infrastructure and overall technology capabilities, with additional computational capacity to support calculations as required under new capital requirements.
What is FRTB CVA?
The FRTB-CVA framework is designed for banks that are capable of managing their CVA risk by calculating CVA sensitivities to a sufficiently large set of risk factors. Similar to the trading book application, the FRTB-CVA framework includes an internal model approach (IMA-CVA) and a standardised approach (SA-CVA).
What is the main objective of the Grameen bank of Bangladesh?
Grameen’s objective has been to promote financial independence among the poor. Yunus encourages all borrowers to become savers so that their local capital can be converted into new loans to others.
What is the maximum interest rate allowed by law in India?
‘ Usury was an offence in Roman law, and, according to the 12 Tables,’ “The Interest on money is 8% per cent per annum. A Usurer who lends at a higher rate of interest, is punishable.” The maximum rate of interest under the late Republic and early Roman Empire was set at twelve per cent.
What are the 4 types of market risk?
The different types of market risks include interest rate risk, commodity risk, currency risk, country risk.
What is top of book data?
The top of the book is where you’ll find the highest bid and lowest ask prices. These point to the predominant market and price that need to get an order executed. The book is often accompanied by a candlestick chart, which provides useful information about the current and past state of the market.
How is the capital requirement measured for assets on our trading book?
The value-at-risk for assets in the trading book is measured on a 10-day time horizon under Basel II norms in order to determine the capital requirement.
What is FRTB market risk?
The Fundamental Review of the Trading Book (FRTB), is a set of proposals by the Basel Committee on Banking Supervision for a new market risk-related capital requirement for banks.
What is expected shortfall FRTB?
Expected shortfall is a measure of the average of all potential losses exceeding VaR at a given confidence interval. The main reason for the transition is that VaR does not capture risks beyond the 99th percentile and so fails to capture, and disincentivise tail risk.
What is BA CVA and SA CVA?
The BA-CVA only encompasses the recognition of hedges pertaining to the counterparty credit risk component. It does not recognise exposure associated hedges. In the SA-CVA, calculation of the CVA risk capital requirements must be on all eligible transactions and their eligible CVA hedges.