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Bank Policies & Procedures: Interest Rate Risk (PLM-095)
Price:
$395.00
- Non-Member
$355.50
- ICBA Member
Description
Establishes the guidelines to ensure that the bank is managed to recognize, measure, and control interest rate risk by setting risk limits, strategies, and reporting formats.
Updated to reflect the current expectations of the regulators as outlined in
FIL-2-2012 Supervisory Guidance: Interest Rate Risk Management
.
Major topics covered in the policy:
Risk measurement methodologies
Interest rate risk scenarios - rate shocks, risk components
Risk parameters
System maintenance - inputs and assumptions, system capabilities
Assumption sensitivity analysis
Risk management strategies
Assignment of responsibilities
Reporting
Independent review and back-testing
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