269. Competent authorities should assess whether the institution has an appropriate framework for …

Competent authorities should assess whether the institution has an appropriate framework for identifying, evaluating, managing and mitigating IRRBB, in line with the level, complexity and riskiness of non-trading book positions and the institution’s size and complexity. The assessment should encompass internal models, such as those related to customer behaviour (e.g. models of deposit stability and loan early repayment). In this assessment competent authorities should evaluate whether the risk managers and the institution’s senior management understand the assumptions underlying the measurement systems and they are aware of the degree of model risk that prevails in the institution’s risk measurement techniques.

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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