Principles for the Management and Supervision of Interest Rate Risk

As part of its ongoing efforts to address international bank supervisory issues, the Basel Committee on Banking Supervision (the Committee) issued a paper on principles for the management of interest rate risk in September 1997. In developing these principles, the Committee drew on supervisory guidance in member countries, on the comments of the banking industry on the Committee's earlier paper, issued for consultation in April 1993, and on comments received on the draft paper issued for consultation. In addition, the paper incorporated many of the principles contained in the guidance issued by the Committee for derivatives activities, which are reflected in the qualitative parameters for model users in the capital standards for market risk (Market Risk Amendment).
(Texto en inglés)