Try This: Monitoring Market Risk

The reports you receive need to be frequent enough and include sufficient information to allow you to assess your bank’s market risk exposure and to determine that the exposure is consistent with risk limits set by the board of directors.

  1. How frequently does your board receive reports on the bank’s market risk exposure?
  2. What measures does your bank track to gauge its market risk exposure?
  3. Are the board’s policy limits for the market risk measures that the bank tracks included on reports the board receives?
  4. Where does your bank stand with respect to its market risk limits?
    1. Were the bank’s market risk measures within board-specified limits?
    2. Looking forward, what earnings and capital exposure does the bank face?
    3. Are these exposures within the board’s risk tolerances?
    4. Does the board review both earnings and capital at risk?
  5. According to management, what are the key assumptions used in the bank’s market risk analysis? Are these assumptions outlined in the market risk report?
  6. What actions were discussed to address any market risk issues the bank may have?