For the purposes of
[PIB Rule 7.2.6], an Authorised Firm should consider the standards for stress testing recommended in the paper published by the Basel Committee for Banking Supervision — Principles for management and supervision of interest rate risk — in July 2004. In particular, an Authorised Firm should include the technical specifications of a standardised interest rate shock detailed in Annex 3 of that paper as part of its systems for measurement of interest rate risk in the Non-Trading Book.
Derived from RM111/2012
(Made 15th October 2012). [VER20/12-12]