2. In order to put in place sound procedures for the ongoing monitoring of the relevance of a …

In order to put in place sound procedures for the ongoing monitoring of the relevance of a stressed period, an institution should document the soundness of the implemented approach. Monitoring may be based on a variety of factors which may differ among institutions. Factors to be considered include changes in market conditions, in trading strategies or also in portfolio composition. These factors may be analysed by comparing them to changes in the allocation of market values or notionals, in risk factor loadings, in the level of VaR or sensitivities, in the repartition of VaR or sensitivities over portfolios and risk categories, in the P&L and back-testing results or also by the impact of newly approved products on the risk profile.

1. Pregled

1.1 Reference

1.2 Utvrđeni zahtjevi

1.3 Povezani standardi

2. Utvrđeni zahtjevi

3. Povezani standardi

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