+87. The limitations of each quantitative tool and model used should be fully understood by the …
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87. The limitations of each quantitative tool and model used should be fully understood by the …
The limitations of each quantitative tool and model used should be fully understood by the institution, and these limitations should be taken into account in the IRRBB risk management process. In assessing IRRBB, institutions should be aware of the risks that may arise as a consequence of accounting treatment of transactions in the non-trading book.
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 - Published by the European Banking Authority at https://www.eba.europa.eu/
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