+207. Competent authorities should assess whether investment firms have robust prudent valuation …
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207. Competent authorities should assess whether investment firms have robust prudent valuation …
Competent authorities should assess whether investment firms have robust prudent valuation methodologies and that they consider the following valuation adjustments: - a. unearned credit spreads;
- b. close-out costs;
- c. operational risks;
- d. market price uncertainty;
- e. early termination;
- f. investing and funding costs;
- g. future administrative costs; and
- h. where relevant, model risk.
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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