商业银行市场风险管理办法发布

Core Viewpoint - The Financial Regulatory Administration has released the revised "Measures for Market Risk Management of Commercial Banks," focusing on risks related to interest rates, exchange rates, stock prices, and commodity prices, while excluding bank book interest rate risks [1][2]. Group 1: Definition and Scope - The revised measures clarify the definition of market risk and specify the applicable scope, excluding bank book interest rate risks, thereby enhancing alignment with other regulations such as the "Measures for Capital Management of Commercial Banks" [1]. - The measures aim to help banks better understand the relationship between market risk and bank book interest rate risk, reinforcing market risk management awareness [2]. Group 2: Governance Structure - The measures emphasize the need to improve the market risk governance structure, clearly defining the responsibilities of the board of directors, supervisory board, and senior management, and outlining the specific roles and responsibilities of the three lines of defense [1]. - The revised framework encourages banks to strengthen market risk management at the group consolidation level [1]. Group 3: Management Requirements - The measures detail the requirements for comprehensive market risk management, including risk identification, measurement, monitoring, control, and reporting [1]. - There is a focus on enhancing internal model definitions, model management, and stress testing requirements to align with current market risk measurement frameworks and management practices [1]. - The measures are expected to help banks optimize their market risk governance structure and policy procedures, improve risk appetite and limit systems, and strengthen internal controls and audits [2].