We are a small bank ( under $250 mil) and I am looking for a place to start on performing an Interest Rate Risk Assessment.. Our CFO currently provides data to an independent company for quarterly board reports.. and I want to assess completeness of assumptions, data provided etc... anyone have a baseline program they are willing to share.. thx.

Interest Rate Risk assessments are tough. You can check assumptions via back testing for accuracy of predictions. (Report said that x would be the result if rates changed x...rates changed, what happened?)

Audits also include checking the accuracy of the numbers provided by the bank vs what is in the report. Make sure sufficient scenarios for increasing and decreasing rates, changes in the bank's portfolio, etc. are included.

Other than back testing and accuracy, a common way of testing an IRR report is to have another vendor run a report with similar assumptions. Not cheap but a test the examiners like.

You can review examiners guidance on IRR. The OCC book is at:

http://www.occ.treas.gov/handbook/irr.pdf There are other publications available as well.

Thank you so much for your suggestions..
Bank curently provides assumptions to 3rd party A/L Benchmarking company .. they provide Board Report along with assumptions and detailed reports for Management... including some peer group comparisons on key items... etc. Its a matter of going through for accuracy... and like you suggested back testing some predictions...