+46. The management body should, based on its overall IRRBB strategy, adopt robust risk policies …
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46. The management body should, based on its overall IRRBB strategy, adopt robust risk policies …
The management body should, based on its overall IRRBB strategy, adopt robust risk policies, processes and systems which should ensure that: - (a) procedures for updating scenarios for the measurement and assessment of IRRBB are set up;
- (b) the measurement approach and the corresponding assumptions for measuring and assessing IRRBB, including the allocation of internal capital to IRRBB risks, are appropriate and proportional;
- (c) the assumptions of the models used are regularly reviewed and, if necessary, amended;
- (d) standards for the evaluation of positions and the measuring of performance are defined;
- (e) appropriate documentation and control over permissible hedging strategies and hedging instruments exist; and
- (f) the lines of authority and responsibility for managing IRRBB exposures are defined.
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
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Requirement |
3. Related Standards
Standards
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Requirement |
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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