Interest rate exposure and the Basle proposals

Abstract

Expresses concern that the Basle proposals do not accord with current UK institutions principles and outlines areas, in great detail, which need to be addressed. States there are three main concerns for UK bankers, these are: the banking book is not defined; management of exposure differs between institutions; and measurement of exposure also differs between institutions. Defines the banking book as also being different between institutions but can appear to encompass everything that is not trading. Discusses management of interest rate exposure, its measurement, the regulator’s approach and last, the practitioner’s approach. Concludes that the current European Consultation Document is contrary to UK institutions’ principles.

Citation

Ashenhurst, J. (2000), "Interest rate exposure and the Basle proposals", Balance Sheet, Vol. 8 No. 3, pp. 10-11. https://doi.org/10.1108/EUM0000000005370