Regulatory Alerts2025-08-22
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Guidelines for Implementation of the Standardised Approach and the Simplified Standardised Approach for the Measurement of Exposure to Interest Rate Risk in the Non-Trading Book
The Executive Board of the National Bank of Serbia issues these Guidelines to prescribe the detailed implementation of standardised approaches for measuring interest rate risk in the non-trading book. Banks are required to calculate economic value of equity and net interest income measures by allocating interest-sensitive instruments into predefined time buckets and applying specific behavioural assumptions for deposits and loans. The document mandates the use of currency-specific interest rate shock scenarios and risk-free yield curves to determine exposure under baseline and stress conditions.
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