Banking book interest rate risk – increasing supervisory attention, the importance of risk management

Recently experienced high volatility in the interbank interest rates and government security yields, which is also expected in the future, drew attention to the importance of managing banking book interest risk. Regulators such as the MNB, the EBA, and European lawmakers also released the importance of this aspect of risk management. This newsletter will summarize the recent MNB article, the current state of EBA tasks, and the modeling challenges for the banks.