Interest Rate Risk
The acceptance and management of financial risk is inherent to the business of banking and banks’ roles as financial intermediaries. To meet the demands of their customers and communities and to execute business strategies, banks make loans, purchase securities, and take deposits with different maturities and interest rates. These activities may leave a bank’s earnings and capital exposed to movements in interest rates. This exposure is interest rate risk.
Interest Rate Risk (Comptroller's Handbook, 1998)
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)
Sound Practices for Model Risk Management: Supervisory Guidance on Model Risk Management (OCC Bulletin 2011-12, April 2012)
Embedded Options and Long-Term Interest Rate Risk (OCC Bulletin 2004-29, July 2004)
Investment Securities (OCC Bulletin 1998-20, April 1998)
Risk Management of Financial Derivatives (BC 277, November 1993)