#IRRBB

/ Featured Publications

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Depositor Behaviour and Interest Rate and Liquidity Risks in the Financial System

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Net Interest Margin of EU/EEA Banks Slightly Decreased on a Quarterly Basis

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Addressing Banks’ Vulnerability to Deposit Runs - Revisiting the Facts, Arguments and Policy Options

Pill

Recalibration of Shocks for Interest Rate Risk in the Banking Book

JIT

Behavioral Modelling and ALM​ - A Scenario Analysis on the Spanish Banking System​

JIT

Modelo Comportamental y ALM - Un Análisis de Escenarios sobre el Sistema Bancario Español

Pill

CBDC and Banks - Disintermediating Fast and Slow

Pill

Projecting Banks’ Net Interest Income; an Asset-Liability Approach, Applied to the Euro Area

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EBA’s Risk Dashboard: EU Banks are Robust, but Signs of Credit Quality Deterioration are Becoming Apparent

JIT

Behavioral Modelling and ALM - A Scenario Analysis on the Italian Banking System

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The EBA Publishes its Heatmap Following Scrutiny of the Interest Rate Risk in the Banking Book

JIT

BCBS Consultative Document: Recalibration of Shocks for Interest Rate Risk in the Banking Book

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Destabilisation of Bank Deposits across Destinations: Assessment and Policy Implications

Argo Collection

Argo Collection N.05 - 2023 - Winter

RPS

Managing IRRBB: Overview of the New EBA Guidelines and the Importance of an Advanced Sight-deposits Behavioural Model

Argo Magazine

Argo Magazine N.24 - 2023

JIT

Behavioral Modelling and ALM - A Scenario Analysis on the Italian Banking System

JIT

2023 EBA Consultation Paper on the Amending ITS on Supervisory Reporting to Introduce New IRRBB Reporting

JIT

2022 EBA Final Draft on RTS for Supervisory Outliers Tests (SOTs) for IRRBB

JIT

2022 EBA Final Draft on RTS on Standardized Approach and Simplified Standardized Approach for IRRBB

JIT

2022 EBA Guidelines on IRRBB and CSRBB

JIT

ESMA GL on Liquidity Stress Testing in UCITS and AIFs: Supervisory Expectations and Possible Challenges

JIT

Interest Rate Risk in the Banking Book

RPS

Risk and Profitability of Sight Deposits in the Italian Banking Industry (Rev)

RPS

Analysis of the New Standards to Measure and Manage the Risk of the Banking Book Issued by BIS Committee

Argo Magazine

Argo Magazine N.12 - 2018

RPS

Benchmark Framework for NMDM

RPS

Sight deposit and non-maturing liability modelling

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