Regulatory Alerts2014-05-15
Management of Interest Rate Risk
The Supervisor of Banks issued this directive to require banking corporations to implement comprehensive processes for identifying, measuring, monitoring, and controlling interest rate risk. The regulation mandates robust oversight by the board of directors and senior management, alongside the establishment of clear organizational structures, risk policies, and internal controls. It further specifies requirements for risk measurement techniques, stress testing, and the management of specific risk sources such as repricing, yield curve, basis, and optionality risks.
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