Illustrative Maturity Schedule Time Buckets for EVE Calculation
Following on from the 4-part series on Interest Rate Risk in the Banking Book (IRRBB), I had a request for a bit more colour on the economic value of equity (EVE) calculation - here is just under 2 minutes on that topic. The EVE is the "future value" sensitivity risk metric required by regulators and a prima facie (if one is permitted to use that expression!) indicator of any Pillar 2 capital add-on for this specific risk exposure in a bank. There is a whole separate chapter on IRRBB in The Principles of Banking, 2nd Edition, which is due out very shortly.
PoB link: https://amzn.to/3HiXAqQ