Unpacking CSRBB Shocks: A New Approach to Understanding Risk Transmission

The European Banking Authority’s (EBA) mandate to address Credit Spread Risk in the Banking Book (CSRBB) presents challenges for financial institutions, especially in less liquid markets.

Join us as we explore our latest research using Vector Autoregression (VAR) models to analyze how Credit Default Swap (CDS) spreads and bond spreads interact across maturities and how shocks propagate through tenors.

Key Takeaways:

• Model CSRBB shocks using VAR frameworks to enhance risk management.
• Understand Impulse Response Functions (IRFs) for measuring risk transmission.
• Address CSRBB modeling challenges in less liquid markets.