Principles for the management of interest rate risk

Summary of document history  

This version

BCBS  | 
Guidelines
 | 
18 September 1997
 | 
Status:  Superseded
PDF full text
 (130kb)
 |  39 pages
Topics: Market risk

Note: For more recent information on interest rate risk, please see Principles for the Management and Supervision of Interest Rate Risk (July 2004).


This document consists of specific agreed principles that supervisory authorities will consider in evaluating banks' management of interest rate risk. The paper re-emphasises the need for banks to maintain adequate risk management practices in all their activities. It lays down eleven agreed principles that supervisory authorities will consider in evaluating banks' management of interest rate risk covering four categories.

  • the role of the board and senior management;
  • policies and procedures;
  • measurement, monitoring and control functions;
  • internal controls.