189. Through the assessment of inherent market risk, competent authorities should determine the …

Through the assessment of inherent market risk, competent authorities should determine the main drivers of the investment firm’s market risk exposure and evaluate the risk of significant prudential impact on the investment firm. The assessment of inherent market risk should be structured around the following main steps:

• a. preliminary assessment;
• b. assessment of the nature and composition of the investment firm’s positions subject to risk-to-market;
• c. assessment of profitability;
• d. assessment of market concentration risk;
• e. assessment of the prudent valuation framework for trading book positions; and
• f. assessment of the model risk (i.e. models used for regulatory purposes).

Preliminary assessment

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.