Regulatory Alerts2016-04-28
Regulation on Management of Interest Rate Risk in the Banking Book
The Central Bank of the Republic of Kosovo mandates all licensed banks to establish comprehensive procedures and capital adequacy standards for managing interest rate risk within their banking books. Banks must implement robust measurement systems that assess repricing, yield curve, basis, and option risks through standardized 200-basis-point stress tests across thirteen time bands, while ensuring board and senior management oversight of defined risk limits. Institutions are required to regularly calculate and report their economic value exposure and capital ratios to the regulator, submitting corrective action plans within three days if risk-to-capital ratios exceed twenty percent.
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