Interest Rate Risk in Banking Book (IRRBB) Enhancement
IRRBB Material Currency
In the standardized approach, loss in the economic value of equity is calculated for each currency with material exposures. Material exposure is defined as accounting for more than 5% of either banking book assets or liabilities. New Data Transformation is now available to identify such currencies in ALM.
Business Benefit:
- New functional feature
Steps to Enable and Configure
Select ‘IRRBB Shocks’ in Forecast Rates assumption and configure Enhanced Approach scenario types