• 1. Introduction
  • 2. Model
  • 2.1 Definition of interest rate risk
  • 2.2 The Basel Committee's approach
  • 2.3 Generalization of the Basel Committee's approach
  • 3. Data
  • 4. Interest rate risk according to the Basel Committee and reference scenario
  • 5. Sensitivity of the results to different assumptions
  • 5.1 Distribution of maturities within the time bands
  • 5.2 Number and boundaries of the time bands
  • 5.3 Amortization payments
  • 5.4 Coupon payments
  • 6. Concluding remarks