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PIB 7.2.6 Guidance

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]