IMS
Definition
Internal Measurement System. A bank's own proprietary system for measuring IRRBB.
What This Actually Means
Your in-house IRRBB model — the one you actually use to manage risk, as opposed to the standardised regulatory calculation. Regulators allow (and expect) banks to use their own models, but they must meet prescribed standards for sophistication, governance, and validation.
Where It Matters
Most banks beyond the smallest use some form of IMS. The quality varies enormously — from sophisticated multi-factor models in large banks to spreadsheet-based approaches in smaller firms. Regulators assess IMS quality during SREP and can require banks to use the standardised approach if the IMS is inadequate.
Abbreviation IMS Internal Measurement System
Your proprietary IRRBB model, as opposed to the standardised regulatory approach.