168. Competent authorities should also consider: a. the complexity of financial products (e.g. …

Competent authorities should also consider:

• a. the complexity of financial products (e.g. products valued using mark–to-model techniques, products bearing non-delta risks and basis risks). Competent authority may assess this by using as an indicator the add-on resulting from residual risks as per Article 325u of Regulation 575/2013/EU;
• b. the liquidity of the institution’s exposure. The competent authority can do so by assessing whether the institution is exposed to subcategories with high liquidity horizons in accordance with table 2 of Article 325bd of Regulation 575/2013/EU;
• c. the concentration of market risk towards specific names, sectors, economies, risk-classes;
• d. the employment of specific market operations the risk of which may not be fully represented by the market risk own funds requirements (e.g. high-frequency trading).

1. Overview

1.1 References

• Article 325u Own funds requirements for residual risks

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

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