Disclosure of registered banks' market risks

Release date
01/06/1996
Reference
Vol. 59. No. 2. June 1996
Author
Ian Harrison
In their normal course of business banks are exposed to losses as prices in financial markets change. Banks will be required to disclose quantitative indicators of their exposures to interest rate, foreign exchange and equity market risks in accordance with a methodology which has been prescribed by the Reserve Bank. This article discusses the reasons why the particular market risk measurement framework was adopted, explains how each of the market risk exposures is calculated, and offers some guidance on the interpretation of the data which will be disclosed.