Market risk mainly refers to the risk of loss to a bank’s business, in-balance sheet or off-balance sheet, as a result of the unfavorable changes in the interest rates, foreign exchange rates, stock prices and commodity prices.
The bank said that its market risk management system has three large databases for parameter data, transaction data and market data.
According to the bank, the system, once in production, will measures and monitors the market risks on the transaction accounts, financial services and products.
Daily functions of the system will cover the measurement and management of market risk: Value at Risk (VaR), stress testing, return checking, limit management, capital calculation and risk reporting.
The bank claims that the system will achieve the goal of managing market risk in all branches and enhances the market risk management in it significantly.
ICBC executive said that the implementation of New Capital Accord is the main line for ICBC to step up its efforts to improve risk management capability. In the next step, ICBC will leverage its strong technical strength to forge ahead with determination to improve risk management in all branches by continual efforts on the risk management, risk quantification management.
