BANK 8.1.5 Policies — management of interest rate risk in the banking book
A banking business firm’s IRRBB management policy must establish:
(a) effective systems for the accurate and timely identification, measurement, evaluation, management and control or mitigation of IRRBB, and reporting to the firm’s governing body and senior management;
(b) regular review, and independent internal or external validation, of any model used by the firm to manage IRRBB (including review of significant assumptions);
(c) prudent and appropriate limits that are consistent with the firm’s risk tolerance, risk profile and capital; and
(d) procedures for tracking and reporting exceptions to, and deviations from, limits or policies.
|Derived from QFCRA RM/2014-2 (as from 1st January 2015).|