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+Article 19 3. |
Article 19 3.Institutions shall ensure there are effective and consistently applied controls related to the valuation process for fair-valued positions. These controls shall be subject to regular internal audit review. The controls shall include all of the following:
(a)
a precisely defined institution-wide product inventory, ensuring that every valuation position is uniquely mapped to a product definition;
(b)
valuation methodologies, for each product in the inventory covering choice and calibration of model, fair value adjustments, AVAs, independent price verification methodologies applicable to the product, and the measurement of valuation uncertainty;
(c)
validation process ensuring that, for each product, both the risk-taking and relevant control departments approve the product-level methodologies described in point (b) and certify that they reflect the actual practice for every valuation position mapped to the product;
(d)
defined thresholds based on observed market data for determining when valuation models are no longer sufficiently robust;
(e)
a formal IPV process based on prices independent from the relevant trading desk;
(f)
a new product approval processes referencing the product inventory and involving all internal stakeholders relevant to risk measurement, risk control, financial reporting and the assignment and verification of valuations of financial instruments;
(g)
a new deal review process to ensure that pricing data from new trades are used to assess whether valuations of similar valuation exposures remain appropriately prudent. 1. Přehled
1.1 Odkazy1.2 Identifikované požadavky1.3 Související standardy2. Identifikované požadavky
3. Související standardy
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