272. Competent authorities should consider whether the institution’s internal measurement systems …

Competent authorities should consider whether the institution’s internal measurement systems (IMS) take into account all material forms of interest rate risk to which the institution is exposed (e.g. gap risk, basis risk and option risk). The IMS should be properly calibrated, independently validated, back-tested and reviewed at an appropriate frequency. Competent authorities should take into account whether the IMS is supported by documentation considering the nature, scale and complexity of the IRRBB inherent in the business model and the institution’s activities.

1. Resumen

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