#IRRBB
/ Featured Publications
Depositor Behaviour and Interest Rate and Liquidity Risks in the Financial System
Net Interest Margin of EU/EEA Banks Slightly Decreased on a Quarterly Basis
Addressing Banks’ Vulnerability to Deposit Runs - Revisiting the Facts, Arguments and Policy Options
Recalibration of Shocks for Interest Rate Risk in the Banking Book
Behavioral Modelling and ALM - A Scenario Analysis on the Spanish Banking System
Modelo Comportamental y ALM - Un Análisis de Escenarios sobre el Sistema Bancario Español
CBDC and Banks - Disintermediating Fast and Slow
Projecting Banks’ Net Interest Income; an Asset-Liability Approach, Applied to the Euro Area
EBA’s Risk Dashboard: EU Banks are Robust, but Signs of Credit Quality Deterioration are Becoming Apparent
Behavioral Modelling and ALM - A Scenario Analysis on the Italian Banking System
The EBA Publishes its Heatmap Following Scrutiny of the Interest Rate Risk in the Banking Book
BCBS Consultative Document: Recalibration of Shocks for Interest Rate Risk in the Banking Book
Destabilisation of Bank Deposits across Destinations: Assessment and Policy Implications
Argo Collection N.05 - 2023 - Winter
Managing IRRBB: Overview of the New EBA Guidelines and the Importance of an Advanced Sight-deposits Behavioural Model
Argo Magazine N.24 - 2023
2023 EBA Consultation Paper on the Amending ITS on Supervisory Reporting to Introduce New IRRBB Reporting
2022 EBA Final Draft on RTS for Supervisory Outliers Tests (SOTs) for IRRBB
2022 EBA Final Draft on RTS on Standardized Approach and Simplified Standardized Approach for IRRBB
2022 EBA Guidelines on IRRBB and CSRBB
ESMA GL on Liquidity Stress Testing in UCITS and AIFs: Supervisory Expectations and Possible Challenges
Interest Rate Risk in the Banking Book
Risk and Profitability of Sight Deposits in the Italian Banking Industry (Rev)
Analysis of the New Standards to Measure and Manage the Risk of the Banking Book Issued by BIS Committee
Argo Magazine N.12 - 2018
Benchmark Framework for NMDM
Sight deposit and non-maturing liability modelling
