Principles for the management of interest rate risk - consultative document

January 1997

As part of its on-going efforts to address international bank supervisory issues, the Basel Committee on Banking Supervision is issuing the attached paper for comment by banks and other financial market participants on the management of interest rate risk. In this as in many other areas sound controls are of crucial importance. It is essential that banks have a comprehensive risk management process in place, that effectively identifies, measures, monitors and controls interest rate risk exposures, and that is subject to appropriate board and senior management oversight. The attached paper describes each of these elements, drawing upon experience in member countries and principles established in earlier publications by the Committee. The objective of the paper is to outline a number of principles for use by supervisory authorities when evaluating banks' interest rate risk management.