Supervising Interest Rate Risk Management

Topics:
Reporting and Control,
Risk Analysis and Management
Tags:
Bank,
Finance,
Financial Planning,
Financial Services,
Interest Rate,
Interest Rate Risk
Source:
Federal Reserve Bank of San Francisco

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Overview: From the executive summary: ‘Over the past few years, financial institutions have made significant efforts to establish and improve their procedures for Interest Rate Risk (IRR) management, including economic models of interest rates and related models of credit risk. At the same time, bank supervisors worldwide, including the Federal agencies have been expanding their knowledge and oversight of IRR management techniques. An IRR is defined as the change in a bank's portfolio value due to interest rate fluctuations. Taking on IRR is a key part of what banks do; but taking on excessive IRR could threaten a bank's earnings and its capital base, raising concerns for bank supervisors.’ The paper explores this issue in detail.

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Format: HTML | Date: Sep 2004 | Pages: 2

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