Capital Markets School - October 2023

Internal Use Only

Joint Agency Policy Statement on Interest Rate Risk (1996) 1. Effective control of the interest rate risk management process includes independent review and, where appropriate, internal and external audit. 2. Periodic reviews of its risk management process to ensure its integrity, accuracy, and reasonableness. 3. Findings of the review should be reported to the Board on an annual basis.

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Internal Use Only

Joint Agency Policy Statement on Interest Rate Risk (1996) 1. The adequacy of, and staff’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

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