CaixaBank, UniCredit most exposed to rate increases in Europe
Banks report largest hits in IRRBB tests, but remain clear of fail threshold
CaixaBank and UniCredit are the European banks most exposed to an interest rate shock, Risk Quantum analysis of the most recent regulatory disclosures on the interest rate risk in the banking book (IRRBB) of 22 lenders shows.
As part of the IRRBB framework, banks are required to gauge the hit to the economic value of equity (EVE) – the net present value of constant-composition assets and
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