Web: https://www.r-bloggers.com/2022/05/irrbb-interest-rate-shock-scenarios-using-r-code/

May 14, 2022, 2:55 p.m. | sang-heon lee

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This post explains how to calculate the IRRBB interest rate shock scenarios of BCBS(2016) prior to discussing change in economic value of equity (∆EVE) and net interest income (∆NII). IRRBB Interest Rate Shock Scenarios IR...


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