+Category 6. Market risk indicators
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Category 6. Market risk indicators
- a) Ratio ‘Daily change of reserve of assets’ market value / (x9 ) rolling day average’
- b) Ratio ‘Reserve of assets’ volatility / referenced assets’ volatility’
- c) Sensitivity to interest rate changes of the reserve of assets
- d) Ratio ‘Value At Risk of the reserve of assets / issuer’s own funds’
9 Number of days, by taking into account the principles laid down in these guidelines. Multiple indicators may be used, each one with a different time horizon if this suits better with their risk management practices.
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- 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.
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