This Guideline is issued in sequel of and as a final document to the Proposal Paper on Measurement and Management of Market Risk that was forwarded to banks in January 2007. The Bank of Mauritius, through the Guideline, sets out the basic principles to be endorsed by banks for establishing an adequate and effective market risk management system, and outlines a standardized methodology along the lines of the Standardised Measurement Method for computation of capital charge pertaining to the different categories of market risk.
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