Project Description


The regulation of interest rate risk in the banking book has been going through a relevant evolution.The study examines the introduction of six new interest rate shock scenarios, the adoption of a minimum post-shock interest rate, which is negative and increasing with the maturity, in the case of downward scenarios, and the provision of a new transmission criterion of the interest rates shock to the bank economic value. Based on the results referred to a sample of less significant Italian banks, observed in the period 2006-2020, the new rules prove to be more prudential and better suited to anticipate the evolution of a bank’s actual exposure.