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Question

supervisors would generally consider interest rate risk exposure in the banking book excessive beginning at what level of losses given a +1- 200 bps market rate movement?

Accepted Answer

> 20% of regulatory capital

Answer

> 2% of 6 months forward earnings

Answer

<10% of regulatory capital

Answer

< 5% of 12 months forward earnings

Supervisors would generally consider interest rate risk exposure in the banking book excessive
beginning at what level of losses given a +1- 200 bps market rate movement?

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Supervisors would generally consider interest rate risk exposure in the banking book excessive beginning at what level of losses given a +1- 200 bps market rate movement?

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Supervisors would generally consider interest rate risk exposure in the banking book excessive
beginning at what level of losses given a +1- 200 bps market rate movement?