CSRBB challenges and way forward
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Credit Spread Risk in the Banking Book (CSRBB) is one of the hot topics for Treasury (Risk) departments at the moment. Regulators have high expectations, and banks feel significant uncertainty on how they will be assessed.
To help navigate this complex landscape, my colleagues Emiliano Carchen and Matteo Baraldi have performed a comprehensive industry survey, revealing a variety of practices and interpretations of the regulatory requirements. Their findings shed light on the challenges and opportunities that banks face in managing CSRBB.
To effectively manage CSRBB and navigate the evolving regulatory landscape, we recommend the following steps:
Clarify objectives and Roles & Responsibilities
Establish a robust narrative on how you are interpreting the rules
Create a holistic framework of risk metric and reporting
Assess evolving your modelling capabilitiesWhich challenges do you currently see in this space?
Feel free to also reach out if we can help with more insights from our survey!
Best,
Marcel