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Article 4: Risk Measurement and Use Of Models

C 165/2018 Effective from 29/8/2018
  1. A Bank must have comprehensive and appropriate interest rate risk measurement systems, which generate a quantification of the threat to earnings and economic value from IRRBB.
     
  2. A Bank must ensure that there is a regular review and independent (internal or external) validation of any models used by the functions tasked with managing interest rate risk (including review of key model assumptions).