Regulatory Alerts2020-11-10
Sensitivity to Market Risk Ratings
This document defines the regulatory framework for assessing a financial institution's sensitivity to market risk, including exposure to interest rates, foreign exchange, and commodity prices. It establishes a five-tier rating system where ratings range from 1, indicating well-controlled risk with strong management practices, to 5, signifying unacceptable control or an imminent threat to viability. Evaluations consider the institution's size, complexity, capital adequacy, and management's ability to identify and monitor risk exposures.
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