In response to recent financial crises, the Bangko Sentral ng Pilipinas (BSP) has adopted several risk monitoring measures targeted not only to attain greater resiliency in the local banking system but also to give banks greater flexibility under a deregulated environment. One of these measures is the adoption of the internal models approach, which this study advocates. According to the study, this approach can be an innovative way of allowing banks with the necessary system to use their own internal risk management models to calculate market risk. With this, the study recommends the provision of training and development programs on the right methodologies and use of internal market risk models to its trustees, directors, officers, and personnel as well as to all banks under its supervision. It also urges the BSP to review the past and current methods used by Philippine banks and compare them with more recent methods for measuring risk. The insights that can be gained from this review can help the BSP advance improvements in the current systems. Moreover, they can help the BSP and local banks to innovate, update, and improve their risk measurement and management processes.