Interest rate risk in the banking book mInterest rate risk in the banking book management framework

Interest rate risk in the banking book management framework

An ADI with internal model approval must have in place an IRRBB management framework that is sufficiently robust to facilitate quantitative estimates of its IRRBB capital requirement that are sound, relevant and verifiable. APRA must be satisfied that the ADI’s IRRBB management framework is suitably rigorous and consistent with the complexity of its business. Where industry risk modelling practices evolve and improve over time, the ADI must consider these developments in assessing its own practices. Furthermore, the IRRBB measurement system must play an integral role in the ADI’s risk management and decision-making processes and meet the requirements detailed in Attachment A. An ADI must also comply with the requirements relating to the Board of directors (Board) and senior management responsibilities in that Attachment.