European banks search for consensus on credit spread risk
New EBA guidelines spawn diverging interpretations of which products must be assessed for CSRBB
Banks and regulators can’t seem to agree on which products within the banking book could suffer losses if the market loses its appetite for credit risk.
“When we get feedback from the regulator, we see that they don’t have a proper view yet,” said Philipp Schröder, a partner at PwC, speaking at the Risk Live Roadshow in Berlin on October 1.
The presence of credit spread risk in the banking book (CSRBB) has long been a source of confusion for banks and regulators alike. The risk is defined as any
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