Principles for the Management of Interest Rate Risk (Basel Committee on Banking Supervision, September 1997)

  Мы не можем подтвердить или удостоверить правильность или соответствие текста данного документа. Всякий, использующий данный документ, делает это на свой риск и должен самостоятельно проверить правильность информации.

We cannot attest or verify the correctness or adequacy of the text of the document. Somebody using the document is doing so at his own risk and should independently verify the accuracy of the information.

PRINCIPLES

FOR THE MANAGEMENT OF INTEREST RATE RISK

Basel Committee on Banking Supervision

Basel

September 1997

Principles for the Management and Supervision of Interest Rate Risk (Basel Committee on Banking Supervision, July 2004)

Table of contents

Summary

I. Sources and effects of interest rate risk

A. Sources of interest rate risk

B. Effects of interest rate risk

II. Sound interest rate risk management practices

III. Board and senior management oversight of interest rate risk

A. Board of directors

B. Senior management

C. Lines of responsibility and authority for managing interest rate risk

IV. Adequate risk management policies and procedures

V. Risk measurement, monitoring and control functions

A. Interest rate risk measurement

B. Limits

C. Stress testing

D. Interest rate risk monitoring and reporting

VI. Internal controls

VII. Monitoring of interest rate risk by supervisory authorities

Annex A Interest rate risk measurement techniques

A. Repricing schedules

B. Simulation approaches

C. Additional issues

Annex В Monitoring of interest rate risk by supervisory authorities

A. Time bands

B. Items

C. Supervisory analysis

Principles for the Management of Interest Rate Risk

SUMMARY

1. As part of its on-going efforts to address international bank supervisory issues, the Basle Committee on Banking Supervision(1) is issuing the attached paper on the management of interest rate risk. In this, as in many other areas, sound controls are of crucial importance. It is essential that banks have a comprehensive risk management process in place that effectively identifies, measures, monitors and controls interest rate risk exposures, and that is subject to appropriate board and senior management oversight. The attached paper describes each of these elements, drawing upon experience in member countries and principles established in earlier publications by the Committee. The objective of the paper is to outline a number of principles for use by supervisory authorities when evaluating banks' interest rate risk management.