54. The IT systems and applications used by the institution to carry out, process and record …

The IT systems and applications used by the institution to carry out, process and record operations, to identify, measure and aggregate IRRBB exposures, and to generate reports should be capable of supporting the management of IRRBB in a timely and accurate manner. In particular, the systems should:

• (a) Capture interest rate risk data on all the institution’s material IRRBB exposures including exposures to gap, basis, and option risk. This should support the institution’s measurement system to identify, measure and aggregate the major sources of IRRBB exposures.
• (b) Be capable of fully and clearly recording all transactions made by the institution, taking into account their IRRBB characteristics.
• (c) Be tailored to the complexity and number of transactions creating IRRBB.
• (d) Offer sufficient flexibility to accommodate a reasonable range of shock and stress scenarios and any additional scenarios.
• (e) Enable the institutions to fully measure, assess and monitor the contribution of individual transactions to their overall exposure.
• (f) Be able to compute economic value and earnings-based measures of IRRBB, as well as other measures of IRRBB prescribed by their competent authorities, based on the interest rate shock and stress scenarios set out in sections 4.4.3 and 4.4.4.
• (g) Be sufficiently flexible to incorporate supervisory-imposed constraints on institutions’ internal risk parameter assumptions.

1. Forbhreathnú

1.1 Tagairtí

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

3. Caighdeáin ghaolmhara

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