Basel’s IRRBB shock scenario update hit by US crisis
Recalibration of shocks had been touted for Q3, but wider rethink may now cause delay
Planned technical adjustments to global banking rules on interest rate risk could end up being delayed by the need for a wider rethink, after the failure of several US regional banks.
Three banking sources were given to understand that the Basel Committee on Banking Supervision was targeting the third quarter of this year for an update to the shock scenarios used in its test for interest rate risk on the banking book (IRRBB). But a regulatory source with knowledge of the deliberations says this
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