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The BIS proposals for the measurement of interest rate risk: some pitfalls

Author: Dermine, Jean INSEAD Area: FinanceIn: Journal of International Securities Markets, spring 1991 Language: EnglishDescription: p. 3-8.Type of document: INSEAD ArticleNote: Please ask us for this itemAbstract: The Basle Committee on Banking Supervision is working on a risk measurement system to evaluate the interest risk exposure of banks. It is shown that the current proposal does not avoid twelve pitfalls quite common in interest rate risk measurement systems, so that it could lead to a misleading assessment of risks. Secondly, it is argued that there are a few reasons to harmonise interest rate risk regulations at the international level, and that decentralisation and delegation to national regulators and supervisors remain appropriate
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The Basle Committee on Banking Supervision is working on a risk measurement system to evaluate the interest risk exposure of banks. It is shown that the current proposal does not avoid twelve pitfalls quite common in interest rate risk measurement systems, so that it could lead to a misleading assessment of risks. Secondly, it is argued that there are a few reasons to harmonise interest rate risk regulations at the international level, and that decentralisation and delegation to national regulators and supervisors remain appropriate

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