144. Investment firms should take into consideration that the results of quantitative assessment …

Investment firms should take into consideration that the results of quantitative assessment methodologies, including stress testing, are highly dependent on the limitations and assumptions of the models (including the severity and duration of the shock and the underlying risks). For example, models showing very high returns on economic capital may result from a weakness in the models (e.g. the exclusion of some relevant risks) rather than a superior strategy or excellent execution of a strategy on the part of the investment firm. The determination of the level of risk taken should not therefore be based only on quantitative information or model outputs; it should also comprise a qualitative approach (including expert judgement and critical analysis). Relevant macroeconomic environmental trends and data should be explicitly addressed to identify their potential impact on exposures and portfolios.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

  DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.