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  • Risk Monitoring

    • RM-4.1.13

      The investment firm licensee's risk reporting and monitoring system should be independent of the employees who are responsible for exposing the licensee to risk.

      Adopted: July 2007

    • RM-4.1.14

      The market risk policy of a licensee may require the production of market risk reports at various levels within the licensee. These reports should provide sufficiently accurate market risk data to relevant functions within the licensee, and should be timely enough to allow any appropriate remedial action to be proposed and taken, for example:

      (a) At firm wide level, a market risk report may include information:
      (i) Summarising and commenting on the total market risk that a firm is exposed to and market risk concentrations by business unit, asset class and country;
      (ii) On VaR calculations, compared to risk limits by business unit, asset class and country;
      (iii) Commenting on significant risk concentrations and market developments; and
      (iv) On market risk in particular legal entities and geographical regions;
      (b) At the business unit level, a market risk report may include information summarising market risk by currency, trading desk, maturity or duration band, or by instrument type;
      (c) At the trading desk level, a market risk report may include detailed information summarising market risk by individual trader, instrument, position, currency, or maturity or duration band; and
      (d) All risk data should be readily reconcilable back to the prime books of entry with a fully documented audit trail.
      Adopted: July 2007

    • RM-4.1.15

      Risk monitoring reports and systems must be subject to periodic independent review by suitably qualified staff.

      Adopted: July 2007