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Principles for the evaluation of interest rate risk management.

Casson, Peter (1997) Principles for the evaluation of interest rate risk management. Journal of International Banking and Financial Law, 12, (8), pp. 345-349.

Record type: Article

Abstract

Supervisory authorities have recently turned their attention away from developing standardised measures of interest rate risk to giving recognition to banks' internal risk measurement models and focusing supervision on the quality of internal risk management. In so doing, supervisory authorities are acknowledging the evolution, within banks, of interest rate risk measurement models and methods of managing interest rate risk. The Basle Committee has followed this approach in its consultative proposal on the principles for the management of interest rate risk. These principles relate to the role of the board and senior management, risk management policies and procedures, risk measurement and monitoring, and comprehensive controls.

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Published date: 1997

Identifiers

Local EPrints ID: 36020
URI: http://eprints.soton.ac.uk/id/eprint/36020
PURE UUID: 1c804b17-5f07-449a-ba39-31e2a089b478

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Date deposited: 12 Feb 2007
Last modified: 17 Jul 2017 15:46

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Contributors

Author: Peter Casson

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