Measurement of Banks' Exposure to Interest Rate Risk

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

Introduction

The purpose of the attached paper is to report on the work by the Basel Committee to measure the interest rate risk run by internationally active banks. It sets out a number of issues relating to the analysis of the risk and indicates the proposals that are being considered to address them. On several issues the Committee has not yet come to a conclusion and the pros and cons of different alternatives are set out for the industry's consideration.