Management von Marktpreisrisiken

  • A strategy and a policy on the management of Market Risks should be put in writing and resolved by the Board;

  • An independent unit should be charged with control and monitoring of market risk exposures regularly. Smaller MFIs would not set up a separate unit here, but typically will add this function to the Finance department;

  • Market risk calculations and business limits need to be synchronized to limit the MFI’s ability to accumulate market risks. The acceptable level of each individual type of market risk for the MFI should be fixed in its Risk Management Strategy;

  • A clear escalation process should be defined for any cases of limit breaches;

  • Basic stress testing may be useful for advanced MFIs to complement regular monitoring of all market risks. Such tests help understand how relevant market risks can increase under certain expectable or worst case market scenarios;

  • Active involvement of the Board and top management in the risk control process is a must, substantiated by meaningful reporting and related discussions in the appropriate frequency. The establishment of an Asset-Liability Committee (e. g. an ALCO on management level) should be considered;

  • If material obligations are present, the suggested risk analyses should be done for each currency individually.