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Interest rate exposure and the Basle proposals

John Ashenhurst (Director of treasury at The Co‐operative Bank)

Balance Sheet

ISSN: 0965-7967

Article publication date: 1 June 2000

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.

Keywords

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

Publisher

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MCB UP Ltd

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