Introduction

According to the European Banking Authority (EBA) guidelines cited in the text, what is interest rate risk?

As per Figure 1.1, by approximately how many basis points did the 1-year euro yields rise between Q1 2022 and Q2 2023?

What are the two widely used perspectives for assessing a bank's interest rate risk exposure mentioned in the book?

How is the economic value of a position defined in the context of ALM?

What is the primary purpose of ALM in banks, as described in the text?

What does the abbreviation ALCO stand for in the context of bank stakeholders?

Which of the following best describes the 'banking book' as defined in Chapter 1?

According to Table 1.1, which category do 'Retail credit and credit to small and medium-sized enterprises (SMEs)' typically fall into?

What is the purpose of an 'asset swap' as illustrated in Figure 1.4?

What is the primary objective of ALM regarding the risk-return profile, as described in Section 1.1.7?

According to regulatory requirements mentioned in Section 1.2, how often should institutions measure their exposure to IRRBB?

What type of interest rate change is the primary focus of interest rate risk management?

Which of the following is NOT one of the six supervisory shock scenarios illustrated in Figure 1.6?

What is the supervisory early warning indicator for the Economic Value of Equity (EVE) in the shock scenarios 'a' to 'f'?

Which type of interest rate risk is defined as the risk of changes in relationships between different interest rate indices, like the 1-month vs. 6-month EURIBOR?

What does EBA define as interest rate gap risk?

In the example of interest rate gap risk in Table 1.2, why does a problem arise in June and July?

According to the EBA definition, what is interest rate option risk?

What is an example of an 'implicit' option based on customer-specific behavior?

What does CSRBB stand for?

What is liquidity transformation, as described in the example in Section 1.2.2.5?

Who originally introduced the concept of duration to approximate interest rate risk?

What is the key characteristic of the price-yield relationship for a typical interest-rate sensitive instrument like a bond?

How is Macaulay duration defined?

What is modified duration?

Based on the calculation in Table 1.4, what is the Present Value of the 5-year bond if the discount rate is 3 percent?

What is partial duration designed to measure?

What does IRRBB stand for?

From a regulatory perspective, is managing IRRBB considered an optional activity for a bank?

Who bears the ultimate responsibility for prudent interest rate risk management in a bank?

According to the EBA guidelines, which of the following is an example of an interest rate-insensitive instrument that would be excluded from IRRBB calculations?

What condition must be met for an institution to use derivative instruments to mitigate IRRBB exposures?

In the context of the supervisory outlier test on Net Interest Income (NII), what is the threshold for a decline in the parallel shock scenarios?

Which of the following risks is NOT considered a pure interest rate risk but is often closely related?

What is the key issue in the interest rate basis risk example shown in Table 1.3?

What type of risk is exemplified by a customer's sight deposit, which has a contractual maturity of zero but an estimated behavioral maturity of two years?

In the graphical interpretation of Macaulay duration shown in Figure 1.8, what does the fulcrum of the balance beam represent?

Why is the price-yield relationship described as non-linear?

What is the key advantage of hedge accounting for a derivative used to hedge an item carried at book value?

According to the definition cited from the European Banking Authority (EBA) on page 23, interest rate risk from non-trading activities can have a negative impact on what two aspects of an institution?

What is the starting point for ALM analysis?

In the context of the earnings perspective, what does ALM seek to understand?

What is one reason mentioned for splitting a bank's book into a 'banking book' and a 'trading book'?

According to Table 1.1, do 'Instruments resulting from securities underwriting commitments' belong to the banking book or the trading book?

How does the text characterize ALM?

What type of risk is illustrated by the scenario where liabilities are called by investors due to a deterioration in the bank's credit quality, forcing the bank to refund itself at a higher cost?

In the calculation of duration in Table 1.4, what is the value of the final cash flow in year 5?

What does a 'steepener shock' scenario (scenario 'c' in Fig. 1.6) involve?

What is the core argument in Note 19 about forward rates as predictors of future interest rates?

Based on the calculation in Table 1.4, what is the calculated Modified Duration for the 5-year 5 percent coupon bond?