(a) Setting an appropriate market risk limit structure to control the licensee's exposure to market risk; for example, by setting out a detailed market risk limit structure at the corporate level, the business unit level and the trading desk level which addresses all the key market risk factors and is commensurate with the volume and complexity of activity that the licensee undertakes;

(b) Setting limits on risks such as price or rate risk, as well as those factors arising from options such as delta, gamma, vega, rho and theta;

(c) Setting limits on net and gross positions, market risk concentrations, the maximum allowable loss (also called 'stop-loss'), VaR, potential risks arising from stress testing and scenario analysis, gap analysis, correlation, liquidity and volatility; and

(d) Considering whether it is appropriate to set intermediate (early warning) thresholds that alert management when limits are being approached, triggering review and action where appropriate.