167. Competent authorities should base their assessment primarily on the most significant …

Competent authorities should base their assessment primarily on the most significant identified sources of risk, evaluating their materiality for the institution from a prudential perspective. To assess the nature of market risk, competent authorities should consider at least the following subcategories³⁹ :

• a. interest rate risk (trading book);
• b. credit spread for non-securitisation, credit spread for securitisation (trading book);
• c. equity risk (trading book);
• d. migration risk (for business subject to a default risk charge)⁴⁰ ;
• e. default risk (for business subject to a default risk charge);
• f. foreign exchange risk, including translation risk (both in the trading and banking book);
• g. commodities risk (trading and banking book);
• h. CVA risk (trading and banking book);
• i. valuation risk (fair-valued instruments in the trading and non-trading books).

³⁹ Please refer to Annex II for a non-exhaustive breakdown of market risk sub-categories.

⁴⁰ Migration risk is treated as part of credit spread risk under the Fundamental Review of the Trading Book.

1. Panoramica

1.1 Riferimenti

1.2 Requisiti identificati

1.3 Standard correlati

2. Requisiti identificati

3. Standard correlati

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