CSRBB in proprietary and customer business Practical issues (Part 2)
Customer Magazin NEWS 03/2025
CSRBB, short for Credit Spread Risk in the Banking Book, refers to the risk arising from changes in market credit and market liquidity spreads. This article shows that the credit spread according to MaRisk and EBA guidelines (CSRBB spread) plays a role in the valuation of bonds and is also evident in the pricing and valuation of loans. This issue is important, among other things, when determining which positions are to be included in CSRBB risk management.
Abstract
This article shows that the CSRBB spread, i.e. the credit spread according to MaRisk and EBA guidelines, plays a role in the valuation of bonds and can also be seen in the pricing and valuation of loans. This issue is important, among other things, when determining which positions are to be included in CSRBB risk management.
The article also shows that the approaches to the valuation of bonds and the pricing of loans based on market spreads are consistent with each other. It also demonstrates the consistency between the approach to credit pricing based on traditional counterparty risk assessment and the approach to credit pricing based on market spreads.
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