Economic Capital, Accrual Book Risk and Basel II
Most industry observers have come to believe that Basel II will not impact their methodologies or practices surrounding traditional interest rate risk (IRR) measurement. This seems a reasonableconclusion given that market risk for the accrual-book, that is the non-trading book of business, remains a Pillar II item; however, it is notable that the Basel Committee released an updated document on IRR in July of 2004 entitled “Principles for the Management and Supervision of Interest Rate Risk”.
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