+Category 6. Market risk indicators
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Category 6. Market risk indicators
- a) Ratio ‘Daily change of reserve of assets’ market value / (x9 ) rolling day average’
- b) Ratio ‘Reserve of assets’ volatility / referenced assets’ volatility’
- c) Sensitivity to interest rate changes of the reserve of assets
- d) Ratio ‘Value At Risk of the reserve of assets / issuer’s own funds’
9 Number of days, by taking into account the principles laid down in these guidelines. Multiple indicators may be used, each one with a different time horizon if this suits better with their risk management practices.
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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