Checklist for Market Risk Management（为市场风险管理清单）.pdf

Checklist for Market Risk Management I. Development and Establishment of Market Risk Management System by Management Checkpoints - Market risk is the risk of loss resulting from changes in the value of assets and liabilities (including off-balance sheet assets and liabilities) due to fluctuations in risk factors such as interest rates, foreign exchange rates and stock prices and the risk of loss resulting from changes in earnings generated from assets and liabilities. There are three material market risks as follows: (1) Interest rate risk: The risk of loss resulting from changes in interest rates. As a result of a mismatch of interest rates on its assets and liabilities and/or timing differences in the maturity thereof, a financial institution may suffer a loss or a decline in profit due to changes in interest rates. (2) Foreign exchange risk: The risk of loss resulting from the difference between assumed and actual foreign exchange rates in the case where a financial institution has a long position or short position on a net basis with regard to its assets and liabilities denominated in foreign currencies. (3) Price Change Risk: The risk of loss resulting from a decline in the value of assets due to changes in the prices of securities, etc. - The development and establishment of a system for market risk management is extremely important from the viewpoint of ensuring the soundness and appropriateness of a financial institution’s business. Therefore, the institution’s management is charged with and responsible for taking the initiative in developing and establishing such a system. - It is important for the inspector to review whether