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Markets have been confronted with a sharp increase in interest rates over the last months, resulting in a material change in level and steepness of the yield curve. Today’s interest rates are positive, the yield curve relatively flat and, in some currencies, even (slightly) inverse. The rise in interest rates poses a significant challenge for banks. This challenge involves managing the impact that rising rates have on the bank’s IRRBB key risk metrics as well as new EBA regulation related to supervisory outlier tests (SOTs) for IRRBB.Read More
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