L'applicazione dei nuovi scenari di variazione dei tassi di interesse proposti dal Comitato di Basilea: quali implicazioni per le banche italiane?

Risk arising from fluctuations of interest rates can pose a significant threat to a bank’s ability to generate earnings and to the adequacy of its capital endowment. An effective risk management process, able to maintain interest rate risk in the banking book (IRRBB) within prudential levels is essential for the overall banking stability, due to the systemic nature of this risk. This paper aims to provide preliminary evidences on the impact of the new six interest rate shock scenarios recently added by the Basel Committee to the current IRRBB regulatory framework, in order to capture the risk arising from changes in level and shape of the yield curve. Furthermore, the study sheds more light on the application of the non-negativity constraint in a period of negative interest rates, based in the recent European Banking Authority’s indications. Referred to a sample of 140 Italian commercial banks over the period 2006-2016, the paper shows that the application of the new interest rate scenarios allows to avoid the risk neutrality phenomenon that may occur when the old shock scenarios are used. Overall, Italian commercial banks are exposed to the scenarios associated with the short rates down and the steepener shocks. However, during the recent past years, their exposure to the former decreased significantly, due to the low interest rate environment level and the consequent application of the non-negativity constraint.