210. To achieve a comprehensive understanding of the investment firm’s market risk profile …

To achieve a comprehensive understanding of the investment firm’s market risk profile, competent authorities should review the governance and risk management framework underlying its market activities. To this end, competent authorities should assess the following elements while taking into account the volume, nature and complexity of the investment firm’s activities:

• a. the investment firm has a sound, clearly formulated and documented market risk strategy, approved by their management body;
• b. the investment firm’s market risk strategy properly reflects the investment firm’s appetite for market risk and is consistent with the overall risk appetite;
• c. the investment firm has an appropriate organisational framework for market risk management, measurement, monitoring and control functions, with sufficient (both qualitative and quantitative) human and technical resources;
• d. the investment firm has clearly defined policies and procedures for the identification, management, measurement and control of market risk, including limits reflecting the risk appetite approved by the management board;
• e. the investment firm has an appropriate framework for identifying, understanding and measuring market risk, in line with the investment firm’s size and complexity, and that this framework is compliant with relevant requirements in accordance with the relevant EU and national implementing legislation; and
• f. the investment firm has a strong and comprehensive control framework and sound safeguards to mitigate its market risk in line with its market risk management strategy and risk appetite.

6.4.4 Summary of findings and scoring

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

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