In general, given different bank’s business models, portfolio structures and depositors’ behaviours and characteristics we believe it is not advisable to specify a globally uniform standardized Pillar I approach for interest rate risk. Under a Pillar II approach institutions’ risk managements should be allowed to use their individual models in the most sensitive and appropriate way. A standardised Pillar I requirement would lack the sufficient and necessary sensitivity and flexibility to reflect institutions’ differing business models, balance sheet structures, products, and customers behaviours. This would lead to significant deviations from the measurement of actual risk exposures.
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