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RM-4.1.4

Investment firm licensees must have in place appropriate risk reporting systems that enable them to identify the types and amount of market risk to which they are (or potentially could be) exposed to. The information that systems should capture may include but is not limited to position data which may consist of raw time series of position rates, index levels and prices and derived time series of benchmark yield curves, spreads, implied volatilities, historical volatilities and correlations.

Adopted: July 2007