From Open Risk Manual


BCBS 11 is a document published by the Basel Committee on Banking Supervision on April 1993 in the Interest Rate Risk category.


credit Risk Modelling: Current Practices and Applications.


Note: For more recent information on interest rate risk, please see Principles for the Management and Supervision of Interest Rate Risk (July 2004).


The purpose of the attached paper is to report on the work by the Basel Committee to measure the interest rate risk run by internationally active banks. It sets out a number of issues relating to the analysis of the risk and indicates the proposals that are being considered to address them. On several issues the Committee has not yet come to a conclusion and the pros and cons of different alternatives are set out for the industry's consideration.

Document Profile

  • Publication Date: April 1993
  • Publication Type: Consultative
  • Publication Status: Closed
  • Publication Category: Interest Rate Risk
  • Number of Pages: 38
  • Keywords: Market Risk

See Also


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