BANK 6.1.1 Introduction
(1) This Chapter sets out the requirements for a banking business firm's market risk management policy to identify, measure, evaluate, manage and control or mitigate market risk. This Chapter also sets out how to calculate the firm's market risk capital requirement.
(2) A banking business firm that operates in a market incurs risks from potential movements in market prices.
(3) The market risk capital requirement for a banking business firm is made up of capital charges for:
(a) foreign exchange risk in the banking book and trading book;
(b) options risk in the banking book and trading book;
(c) commodities risk in the banking book and trading book;
(d) traded equity position risk; and
(e) traded interest rate risk.
|Amended by QFCRA RM/2015-3 (as from 1st January 2016).|