Monitoring
CA-1.3.23
Banks are expected to manage their market risk in such a way that the capital requirements for market risk are being met on a continuous basis, i.e. at the close of each business day and not merely at the end of each calendar quarter, both in the case of banks that use the standardised approach and those that use internal models. Banks are also expected to maintain strict risk management systems to ensure that their intra-day
exposures are not excessive.October 07CA-1.3.24
Banks' daily compliance with the capital requirements for market risk shall be verified by the independent risk management department and the internal auditor. It is expected that the external auditors will perform appropriate tests of the banks' daily compliance with the capital requirements for market risk. Where a bank fails to meet the minimum capital requirements for market risk on any business day, the Central Bank should be informed in writing. The Central Bank will then seek to ensure that the bank takes immediate measures to rectify the situation.
October 07CA-1.3.25
Besides what is stated in Paragraphs CA-1.3.2, CA-1.3.3, CA-1.3.10, CA-1.3.11, CA-1.3.19 and Section CA-1.6, the Central Bank will consider a number of other appropriate and effective measures to ensure that banks do not 'window-dress' by showing significantly lower market risk positions on reporting dates.
October 07
