137. To assess the nature of credit risk, competent authorities should consider at least the …

To assess the nature of credit risk, competent authorities should consider at least the following subcategories of credit risk by carrying out a more detailed assessment of those subcategories which are considered most relevant for the institution³⁷ :

• a. credit concentration risk;
• b. counterparty credit risk and settlement and delivery risk;
• c. country risk;
• d. credit risk from securitisations;
• e. FX lending risk;
• f. real estate risk;
• g. equity risk in the banking book;
• h. dilution risk;
• i. model risk for regulatory approved models.

³⁷ Please refer to Annex I for a non-exhaustive breakdown of credit risk sub-categories and further details on their assessment.

1. Vue d’ensemble

1.1 Références

1.2 Exigences identifiées

1.3 Normes associées

2. Exigences identifiées

3. Normes associées

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