Service Group in Brazil

Market Risk

Market risk is the exposure to an adverse change in the market value of portfolios and financial instruments caused by a change in market prices or rates.

Organizational structure

As part of the Risk Management Structure, the Regulatory Risk management unit reports to the Market and Credit Risk Director (CRO) as shown on the chart below. The Chief Risk Officer (CRO) is currently responsible for the market risk governance before the Central Bank of Brazil. In addition to report locally to the CRO, the Regulatory Risk unit has a functional link with two futher areas: Regulatory Risk Reporting, responsible for Risk Reporting in London and IB Market Risk Coverage.


The establishment of separate functions between the business areas and Risk Management provides sufficient independence and autonomy to implement adequate risk control.

Main functions of the Market Risk Management include:

  • Identifying, measuring, monitoring and analyzing market risks, ensuring that the risks taken are consistent with the provision of market risk established by the firm's Executive Administrative Board.
  • Consolidating the risk exposure for all areas of the firm subject to market risks.
  • Analyzing the proposed limits of market risk and submitting its recommendation to the Board.
  • Understanding, analyzing, monitoring and reporting on developments and trends in regards to market risk exposure.

Operational Limits

Market risk monitoring is intended to limit the risk incurred by the firm and ensure that the allocation of capital does not exceed the maximum levels approved.

VaR (Value at Risk)

VaR (Value at Risk) is a statistical risk measure that gauges the potential loss from adverse market moves in an ordinary market environment. VaR, non-statistical measures, stress testing, risk identification and other risk factors are set taking into account the net worth of J.P. Morgan in Brazil.


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