Basel library
Interest rate risk in the banking book
How banks should measure, manage and disclose the interest rate risk of their non-trading positions, with six prescribed rate shock scenarios and a supervisory outlier test, under Pillar 2 rather than a capital charge.
Note Now part of the consolidated Basel Framework (SRP31). Its shock sizes were recalibrated later.
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Lessons that explain or cite this document.
- L1.3.08The yield curve: spot and forward rates
- L1.4.06The price-yield relationship
- L2.2.02Market risk
- L2.6.04Hedging interest rate risk
- L3.2.04Interest rate risk in the trading book
- L3.6.03Repricing gap analysis
- L3.6.05Economic value of equity sensitivity
- L3.6.06The standard shock scenarios
- L3.6.08Optionality in loans
- L3.6.09Non-maturity deposits
- L3.6.12Credit spread risk in the banking book and the SVB case
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