Supervising interest rate risk management
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.
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Provider: Federal Reserve Bank of San Francisco
Part of Series: FRBSF Economic Letter
Publication Date: 2004
Order Number: 26