The paper entitled “International Convergence of Capital Measurement and Capital Requirements” 15 published by the Basel Committee on Banking Super- vision provides only general information on interest rate risk in the banking book. More specifi c information is contained in an additional paper entitled “Principles for the Management and Supervision of Interest Rate Risk” (July 2004). 16 This paper lists 15 principles that represent minimum requirements for the management of interest rate risk by credit institutions 17 and that defi ne the supervisory treatment of interest rate risk in the banking book. This paper is a revised and expanded version of the “Principles for.
