BIS paper on management of interest rate risk

As part of its ongoing efforts to address international bank supervisory issues, the Basel Committee on Banking Supervision issued a paper on principles for the management of interest rate risk in September 1997. This revised version is being issued to support the Pillar 2 approach to interest rate risk in the banking book in the new capital framework. The revision is reflected especially in the Summary, in Principles 12 to 15, and in Annexes 3 and 4.

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