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Filling the gaps in Basel’s interest rate risk measures

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Filling the gaps in Basel’s interest rate risk measures – Risk.net



Risk.net

Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage

The crisis in the US regional banking sector in March this year highlighted the value of a key test devised by global regulators to identify banks whose loan and deposit books are most at risk from a rise or fall in interest rates. European banks…

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