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Document Overview
Principle 22 - Market risk (paras. 40.50-40.51) (effective as of 25 April 2024)
40.50 Principle 22: [Reference documents: BCBS, High-level considerations on proportionality, July 2022; RBC25, MAR10, MAR11, MAR12, MAR20, MAR21, MAR22, MAR23, MAR30, MAR31, MAR32, MAR33, MAR40, MAR50, MAR99.] The supervisor determines that banks have an adequate market risk management process considers risk appetite, risk profile, market and macroeconomic conditions and the risk of a significant deterioration in market liquidity. This includes prudent policies and processes to identify, measure, evaluate, monitor, report and control or mitigate market risks on a timely basis.
40.51 Essential criteria:
(1) Laws, regulations or the supervisor require banks to have appropriate market risk management processes that provide a comprehensive bank-wide view of market risk exposure. The supervisor determines that the processes are consistent with the risk appetite, risk profile, systemic importance and capital strength of the bank; that they consider market and macroeconomic conditions and the risk of a significant
deterioration in market liquidity; and that they clearly articulate the roles and responsibilities for identifying, measuring, monitoring, reporting and controlling market risk.