Subject Problems associated with market risk management by commercial bank and building the effective system of risk management are becoming more relevant in connection with the implementation of the new requirements of the Basel Committee on Banking Supervision. Objectives The aim of the study is to identify the tasks of bank's management when creating an effective risk management system for market risk management under the requirements of the Basel Committee on Banking Supervision. Methods In this paper, I used scientific methods of research. Results Based on the theoretical analysis of international consultative documents, regulations of the Bank of Russia and available research findings on the topic, I identified the required characteristics of the risk management system in accordance with the requirements of the Basel Committee on Banking Supervision. The paper emphasizes the main areas for bank managers to improve the efficiency of market risk management. I present the system of interaction of the key bank units in the process of market risk management and list the requirements to internal management reporting and IT-infrastructure of banks. Conclusions and Relevance The findings lead to the conclusion that building an effective risk management system to manage market risk in accordance with international requirements is possible only if the bank creates a clear-cut and regulated system of interaction between the bank units, bank management and Board of Directors. It is also necessary to develop a set of criteria for management reporting on risks, the IT-infrastructure, as well as an incentive program for the bank management to improve risk controls.
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