Objectives On completion of this tutorial, you will be able to:

• Identify the key considerations and challenges when measuring interest rate risk
• Distinguish between the use of earnings-based measures, such as gap analysis, and economic value measures, such as economic value of equity (EVE) and economic value at risk (EVaR), to assess interest rate risk

Tutorial Overview Regulators expect banks to assess interest rate risk in the banking book based on outcomes of both economic value and earnings-based measures, arising from a wide and appropriate range of interest rate shock and stress scenarios. This tutorial looks at the various measures of interest rate risk that banks used and the issues and challenges they face in that regard. Prerequisite Knowledge Interest Rate Risk - An Introduction Tutorial Level: Intermediate Tutorial Duration: 60 minutes