Regulatory Alerts2009-07-09
Guideline on Measurement and Management of Market Risk
The Bank of Mauritius issued this July 2009 guideline to mandate standardized market risk management frameworks and capital charge calculations for all licensed banks under the Basel II framework. Institutions must establish clear banking and trading book distinctions, implement robust board oversight and internal control systems, and apply the Standardised Measurement Method to compute regulatory capital for interest rate, equity, foreign exchange, and commodity risks. Banks with trading book positions exceeding five percent of total assets must comply with the standardized methodology and submit quarterly capital adequacy returns detailing risk exposures and internal capital buffers.
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