Chappuis Halder & Cie: Interest Rate Risk In The Banking Book – How To Manage IRRBB Considering The Monetary Policy And The New Regulation?

The past three years have seen central banks use massive bond-buying programs as an emergency stimulus to the economy. These unconventional (and somehow controversial) tools had a direct impact on the term structure of the yield curve. Consequently, interest rates fell drastically leading borrowing costs to touch all-time low across different jurisdictions. Inspired by the FED, the ECB launched a similar exercise in March 2015 which had similar effects on interest rates.

Today, many

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