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.