Interest Rate Risk in the Banking Book

Análises

Interest Rate Risk in the Banking Book: 2017 Deloitte Survey

Taking a closer look to the BCBS Standards

Following the publication in June 2016 of the new Standards on Interest-Rate Risk in the Banking-Book (IRRBB) by the Basel Committee on Banking Supervision, the Deloitte EMEA IRRBB/ALM working group invited European and South African banks to participate to an online survey to assess their current state of readiness against the new Basel standards.

Thirty-seven banking groups, from 10 different EMEA countries, have responded to the survey. The most important results of the survey have been highlighted in a brochure you can download. It will be followed by a white paper which will be published in the upcoming weeks.

The survey is very timely, as the European Central Bank launched its 2017 stress-testing exercise on 28 February 2017, focusing on IRRBB.

Interest Rate Risk in the Banking Book: 2017 Deloitte Survey

EMEA Key contacts

IRRBB & ALM Group Leader

Luigi Mastrangelo
Partner, Deloitte Consulting
+39 348 0744925
lmastrangelo@deloitte.it

IRRBB & ALM EMEA Group Coordinator

Andrea Fondi
Manager, Deloitte Consulting
+39 342 3461406
afondi@deloitte.it

Contributors

Austria–Sascha Bakry

France–Frederic Bujoc

Germany–Christian Seiwald

Italy–Elisabetta Tisato

Luxembourg–Jean-Philippe Peters

Portugal–Ana Garibaldi Cardoso

South Africa–Monique de Waal

Spain–Braulio Crespo

Sweden–Michael Georger

The Netherlands–Roald Waaijer

United Kingdom–Zeshan Choudry

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