Barclays 2013 Annual Report Download - page 408

Risk management
Market risk management continued
Overview of the business market risk control structure
Traded
■ Interest rate risk
■ Spread risk
■ Currency risk
■ Equity risk
Pension
■ Discount rate risk
■ Inflation risk
■ Asset value risk
Non-traded
■ Interest rate risk
■ Foreign exchange risk
■ Asset management risk
Investment Bank
■ Traded products risk review
■ Investment Committee
■ Conformance reviews
■ Commodity risk
■ Inflation risk
■ Traded credit risk
■ Basis risk
■ Absa Market Risk Committee
■ Treasury Committee
■ Treasury Hedge Committee
■ Asset and Liability Committees
■ New product sign-off process
■ Conformance reviews
■ Pension management group
■ Pension Executive Board
Retail and Business Banking
Corporate Banking
Wealth and Investment Management
Absa
Treasury
Pension Fund Trustees and
Barclays central functions
Risk type
...managed by
…with oversight and challenge provided by Market Risk Committee and…
Group Market Risk Director
Roles and responsibilities
The objectives of Barclays market risk management is to:
 understand and control market risk by robust measurement, limit
setting, reporting and oversight;
 facilitate business growth within a controlled and transparent risk
management framework;
 ensure that traded market risk in the businesses resides primarily in
Investment Bank including Absa CIBW; and
 minimise non-traded market risk.
To ensure the above objectives are met, Barclays has a well established
governance structure in place, whereby the risks are identified,
assessed, controlled and reported on throughout the organisation.
The Board Financial Risk Committee (BFRC) reviews and approves
market risk appetite for the group. The Group Market Risk Director is
responsible for the Barclays Market Risk Control Framework and, under
delegated authority from the Group Chief Risk Officer, sets a limit
framework within the context of the approved market risk appetite.
The Market Risk Committee approves and makes recommendations
concerning the market risk profile across Barclays Group. This includes
approving the Barclays Market Risk Control Framework and Group
Market Risk Policies; reviewing arising market or regulatory issues,
limits and utilisation; and proposing risk appetite levels to the Board.
The Committee is chaired by the Group Market Risk Director and
attendees include the Group Chief Risk Officer, respective business
aligned risk managers and senior managers from Group Market Risk as
well as Internal Audit.
The head of each business is accountable for all market risks
associated with its activities. The head of the market risk team covering
each business is responsible for implementing the risk control
framework for market risk. The control frameworks for traded,
non-traded and pensions risk are all governed by the Market Risk
Control Framework, which sets out how market risk should be
identified, measured, controlled, reported and reviewed. The
Framework also outlines and references Group Market Risk policies.
Market risk oversight and challenge is provided by business
committees, Group committees, including the Market Risk Committee
and Group Market Risk. The chart above gives an overview of the
business control structure.
Risk management in the setting of strategy
Appetite for market risk is recommended by the risk function, to be
agreed by BFRC. Mandate and scales are set to control levels of market
risk and ensure the Group remains within risk appetite. The Group runs
an annual Group-wide stress testing exercise which aims to simulate
the dynamics of exposures across Barclays Group and cover all risk
factors. The exercise is also designed to measure the impact to
Barclays’ fundamental business plan, and is used to manage the wider
Group’s strategy.
See page 385 for more detail on the role of risk in the setting of
strategy.
Market risk culture
The Investment Bank risk function, which includes the market risk
function, reports directly to the Group Chief Risk Officer, in line with the
Transform initiative. Market risk managers are independent from the
businesses they serve which embeds a risk culture with strong
adherence to limits that support Group wide risk appetite. See page
378 for more detail on Barclays’ risk culture.
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406 Barclays PLC Annual Report 2013