Market Risk Framework™
Manage exposure to adverse movements in market prices and rates.
Market risk is exposure to movements in FX, interest rates, commodity and other prices. This framework identifies exposures, sets limits, measures sensitivity and governs hedging.
Currency, rate and commodity moves can wipe out margin when exposures are not measured, limited and hedged to a clear policy.
Manage exposure to adverse movements in market prices and rates.
- CFOs
- Treasurers
- Financial institutions
- Risk committees
- Exposure identification
- FX & rate risk
- Commodity/price risk
- Limits & sensitivity metrics
- Hedging policy
- Market-risk monitoring
- Treasury owns; the second-line market-risk function oversees; the Risk Committee sets limits.
Fragile
Maturity level 1 of the shared Outliers risk spine — Fragile.
Functional
Maturity level 2 of the shared Outliers risk spine — Functional.
Disciplined
Maturity level 3 of the shared Outliers risk spine — Disciplined.
Strategic
Maturity level 4 of the shared Outliers risk spine — Strategic.
Resilient
Maturity level 5 of the shared Outliers risk spine — Resilient.
- Identify and quantify exposures
- Set limits and sensitivity metrics
- Define the hedging policy
- Execute and monitor hedges
- Report against limits
- Market risk policy
- Limit framework
- FX risk register
- Hedging dashboard
- Market risk policy
- Hedging policy
- Limit framework
- FX cover ratio
- Net open position
- Sensitivity (e.g. earnings-at-risk)
- Limit utilisation
- What is our net FX and rate exposure?
- How much earnings volatility could market moves cause?
- Is our hedging policy being followed?
- Are we within market-risk limits?
Related across the Risk Centre
Financial Risk Assessment™
Assess liquidity, credit, market and capital risk.
Risk Excellence Certification™
Applied, board-ready credential proven by running Outliers frameworks on a real organisation.
Outliers Risk Advisory
Senior risk advisory across the Outliers framework set.
Across the ecosystem
Knowledge graph · 2 relations