IRRBB, k-ALM Joshua Nowak IRRBB, k-ALM Joshua Nowak

Recalibration of IRRBB Shock Scenarios

In December 2023, the Basel Committee on Banking Supervision (BCBS) published a Consultative Document on the recalibration of shocks for the measurement of IRRBB. Following the consultation period, on 16 July 2024, the BCBS published the final Recalibration of Shocks in the Interest Rate Risk in the Banking Book Standard.

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