Journal Article
Assessing supervisory scenarios for interest rate risk
Abstract: A new proposal by the Basel Committee on Banking Supervision for setting the amount of capital banks must hold against potential losses from interest rate risk uses only a few, very stylized scenarios. Analysis shows the proposed scenarios are extremely unlikely to occur. While they may be appropriate for setting bank capital guidelines, they are much less relevant for everyday risk management. Instead, using a modeling framework with a plausible range of interest rate scenarios would be more relevant to help banks manage their interest rate risk.
Keywords: Capital assessment; Basel capital accord; Risk assessment; Interest rate risk;
Access Documents
File(s):
File format is application/pdf
http://www.frbsf.org/economic-research/files/el2015-29.pdf
Description: Full text
Bibliographic Information
Provider: Federal Reserve Bank of San Francisco
Part of Series: FRBSF Economic Letter
Publication Date: 2015
Order Number: 29