Capital Markets Examiner School, Providence, RI

Joint Agency Policy Statement on Interest Rate Risk (1996)

1. The adequacy of, and personnel’s compliance with, the bank’s internal control system 2. The appropriateness of the bank’s risk management measurement system given the nature, scope and complexity of its activities 3. The accuracy and completeness of the data inputs into the bank’s risk measurement system 4. The reasonableness and validity of scenarios used in the risk measurement system 5. The validity of the risk measurement calculations

Advisory on Interest Rate Risk Management (2010)

• Reminds the Board they have the ultimate responsibility for the risks undertaken by the institution

• Expects institutions to have adequate system of internal controls to ensure the integrity of all elements of their interest rate risk process – Adequacy of corporate governance – Compliance with policies and procedures – Comprehensiveness of interest rate risk measurement and management information systems

• Model Validation