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CaixaBank and UniCredit are the European banks most exposed to an interest rate shock, Risk Quantum analysis of the most recent regulatory disclosures on the interest rate risk in the banking book (IRRBB) of 22 lenders shows.
As part of the IRRBB framework, banks are required to gauge the hit to the economic value of equity (EVE) – the net present value of constant-composition assets and liabilities – across six rate-shock scenarios. If EVE drops by an amount higher than 15% of Tier 1 capital
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