+123. When assessing changes in credit risk premium and liquidity premium movements, institutions …
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123. When assessing changes in credit risk premium and liquidity premium movements, institutions …
When assessing changes in credit risk premium and liquidity premium movements, institutions can consider currency specific dimensions (i.e., EUR, USD, etc.) as a relevant dimension for market credit spread and market liquidity spread.
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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