Interest Rate Risk

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Interest Rate Risk, Comptroller's Handbook

References

• Interest Rate Risk Statistics Report (OCC Bulletin 2020-91, October 27, 2020)
• Interest Rate Risk: Revised Comptroller’s Handbook Booklet (OC Bulletin 2020-26, March 26, 2020)
• Interest Rate Risk: Interagency Advisory on Interest Rate Risk Management (OCC Bulletin 2010-1, January 2010) and FAQs on 2010 Interagency Advisory on Interest Rate Risk Management (OCC 2012-5, January 2012)
  Guidance providing sound risk management practices to manage interest rate risk exposures.
• Sound Practices for Model Risk Management: Supervisory Guidance on Model Risk Management (OCC Bulletin 2011-12, April 2012)
  Guidance covers expected oversight of computer models used in risk management activities.
• Embedded Options and Long-Term Interest Rate Risk (OCC Bulletin 2004-29, July 2004)
  Guidance covers measuring cash flow and valuation risks for assets and liabilities with embedded options.
• Investment Securities (OCC Bulletin 1998-20, April 1998)
  Guidance on managing the risks of investment activities.
• Risk Management of Financial Derivatives (BC 277, November 1993)
  Prudent risk management practices for financial derivatives activities.