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    Frédéric Visnovsky of ACPR on Interest Rate Risk in the Banking Book

    June 14, 2017

    Frédéric Visnovsky, Deputy Secretary General of ACPR, discussed the supervisory focus on interest rate risk. He discussed the interest rate risk faced by banks in France, enhanced Pillar 2 management principles the Basel standard for interest rate risk in the banking book (IRRBB), and sensitivity analysis exercise for IRRBB for fiscal year 2017.

    Mr. Visnovsky examined the different principles and approaches that have been applied in this area since 1993. He discussed the interest rate risk in the context of bank profitability and explained how the interest rate risk has been an area of concern for Basel Committee. He also examined the changes introduced in the Basel standard on IRRBB, along with the enhanced Pillar 2 management principles. 

    Related Links

    Speech (PDF in French)

    Basel Committee Standard on IRRBB

    Keywords: Banking, Europe, France, ACPR, Basel III, IRRBB, Pillar 2

     


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