Supervising interest rate risk management

Jose Lopez

FRBSF Economic Letter, 2004, issue sep17

Abstract: This Economic Letter reviews the Basel Capital Accord's stated principles on interest rate risk. In brief, the principles strongly support the idea that banks' internal risk assessments should, whenever possible, form the basis for supervisory oversight of their interest rate risk profiles. The principles suggest supervisory guidelines for assessing the adequacy of interest rate risk management systems, such as focusing on banks' internal control functions and stress-testing results.

Keywords: Interest rates; Risk management; Basel capital accord (search for similar items in EconPapers)
Date: 2004
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