Regulating interest rate risk

The panel

• Steven Good, Director, ALM, FTP and liquidity risk product management, SS&C Algorithmics
• Adrian Docherty, Head of bank advisory, BNP Paribas
• Yujush Saksena, Managing director, treasury risk, BNY Mellon
• Eric Schaanning, Director, global head of ALM risk management, Credit Suisse
• Moderator: Samuel Wilkes, Deputy editor, regulation, Risk.net

Over the past decade, regulators have introduced stress tests, liquidity and funding standards – and overhauled rules specifically on interest rate risk in the banking book (IRRBB) – that have all had some bearing on the current crisis. But they haven’t yet been implemented fully, or equally, from one jurisdiction to another.

Key topics discussed:

• IRRBB: a global standard that doesn’t apply globally
• Other regulatory tools: stress tests, liquidity coverage ratio and net stable funding ratio
• Is the current framework fit for purpose?

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