How is Irrbb measured?

Principle 4: Measurement of IRRBB should be based on outcomes of both economic value and earnings-based measures, arising from a wide and appropriate range of interest rate shock and stress scenarios.

What does Irrbb stand for?

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.

How is NII calculated?

NII or net interest income is the difference between the income a bank earns from its lending activities and the interest it pays to depositors whereas NIM or net interest margin is calculated by dividing NII by the average income earned from interest-producing assets.

Why is Irrbb important?

IRRBB is an important risk for all banks that must be specifically identified, measured, monitored and controlled. In addition, banks should monitor and assess CSRBB. The governing body of each bank is responsible for oversight of the IRRBB management framework, and the bank’s risk appetite for IRRBB.

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.

How do you calculate earnings at risk?

Earnings at risk (EAR) is the amount of change in net income due to changes in interest rates over a specified period. It helps investors and risk professionals understand the impact that a change in interest rates can make on a company’s financial position and cash flow.

What is gap risk in Irrbb?

Gap risk arises from the term structure of banking book instruments, and describes the risk arising from the timing of instruments’ rate changes.

What is included in NII?

Net investment income (NII) is income received from investment assets (before taxes) such as bonds, stocks, mutual funds, loans, and other investments (less related expenses). The individual tax rate on net investment income depends on whether it is interest income, dividend income, or capital gains.

What is the main objective of the Grameen bank of Bangladesh?

Grameen Bank is more than a bank, however. Its objective includes the alleviation of poverty of the rural poor through credit and social intermediation. Its success as a financial institution is its creation of a market niche.

What is FRTB regulation?

First introduced in the aftermath of the 2008 global financial crisis, the FRTB is a global set of rules specifying the minimum regulatory capital requirements that apply to banks’ wholesale trading activities.

How are risks measured?

There are five principal risk measures, and each measure provides a unique way to assess the risk present in investments that are under consideration. The five measures include the alpha, beta, R-squared, standard deviation, and Sharpe ratio.