The European Banking Authority (EBA) provides limited standardization for Credit Spread Risk in the Banking Book (CSRBB), delegating its assessment to individual financial institutions. This has led to significant variation in how CSRBB guidelines are interpreted and applied across the banking sector. This study investigates how to model plausible but unlikely credit spread shocks using Principal Component Analysis (PCA), hypothesizing that systemic risk dominates fluctuations across government and corporate bonds. The model aligns with EBA requirements and provides insights to strengthen risk management frameworks.

中文翻译：

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根据监管指南对 CSRBB 进行建模

欧洲银行管理局 （EBA） 为银行账簿中的信用利差风险 （CSRBB） 提供了有限的标准化，将其评估委托给各个金融机构。这导致整个银行业对 CSRBB 指南的解释和应用方式存在重大差异。本研究调查了如何使用主成分分析 （PCA） 对看似合理但不太可能的信用利差冲击进行建模，假设系统性风险主导政府和公司债券的波动。该模型符合 EBA 要求，并提供见解以加强风险管理框架。