BIS: Interest rate risk in the banking book
21 Apr 2016 (UPDATED: 13 Mar 2026)
International
1 min read
Further to a June 2015 consultation, BIS has published standards for the above, which revise its 2004 “Principles for the management and supervision of interest rate risk” and include more extensive guidance on the expectations for a bank's IRRBB management process and key behavioural and modelling assumptions to be considered by banks in their measurement of IRRBB. It is expected that the standards will be implemented by 2018.
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