This video series on interest rate risk was developed by FDIC staff for use by community bank management and individuals that are involved in the interest rate risk management function, including asset liability management committee members.
The third video in this series discusses the various types of systems or models used to measure interest rate risk exposure, including gap, income simulation, extended income simulation, and economic value of equity models. The video also outlines a typical modeling process.
The fifth video in this series discusses deposit customer behavior and non-maturity deposit assumptions, which can be the most influential, and challenging, assumptions to develop when modeling interest rate risk.
The eighth and final video in this series provides a general overview of the preceding videos, the interest rate risk management process, and outstanding regulatory guidance. Also provided is a list of additional resources.