Scheme background

The market risk management of commercial banks has always been the key point supervised and concerned in China’s banking industry. According to the requirements in Guidelines on Market Risk Management of Commercial Banks, commercial banks should establish a sound and reliable market risk management system corresponding to the nature, scale and complexity of their business. The financial industry market risk management system achieves the integration of the financial market business transaction data, market data and related risk data required in financial market risk management and external supervision, so as to provide timely and accurate risk analysis information and basic reports for financial market risk management and measurement as well as the measurement of market risk regulatory capital and economic capital, and furnish the basis for market risk limit management.

Scheme content

The banking industry market risk management system achieves the integration of the financial market business transaction data, market data and relevant risk data required in financial market risk management and external supervision, so as to provide timely and accurate risk analysis information and basic reports for financial market risk management and measurement as well as the measurement of market risk regulatory capital and economic capital, and furnish the basis for market risk limit management.

Scheme value

The construction of market risk management system can bring the following values to commercial banks: 

1. Establish a centralized and integrated market risk data mart, and integrate the capital business data of domestic and foreign currencies, market data, counterparty and market risk measurement results data. 

2. Establish and perfect the market risk measurement system to realize the comprehensive integration of market risk data mart and market risk measurement engine; establish a risk measurement system that meets the regulatory requirements and covers the interest rate risk and stock risk of commercial banks’ trading accounts, the exchange rate risk and commodity risk of transaction accounts and bank accounts, and the counterparty credit risk exposure, with stress test, return test and other business functions achieved. 

3. Realize the automation of internal and external risk management reports; the system can automatically generate various market risk management reports that meet the regulatory requirements and the internal requirements of the bank. 

4. Improve the management level of financial market business quota, realizing the quota monitoring from multiple perspectives such as financial instrument, trading organization and counterparty, and improving the timeliness of quota monitoring.