195. While analysing market risk activities, competent authorities should also consider the …

While analysing market risk activities, competent authorities should also consider the complexity of the relevant financial products (including products valued using mark-to-model techniques) and of specific market operations (including high-frequency trading). The following points should be considered:

• a. where the investment firm holds derivatives positions, competent authorities should assess both the market value and the notional amount;
• b. where the investment firm is engaged in OTC derivatives, competent authorities should evaluate, where available, the weight of these transactions in the total derivatives portfolio and the breakdown of the OTC portfolio by type of contract (swap, forward), underlying financial instruments (the counterparty credit risk associated with these products is covered under the risk-to-firm methodology);
• c. where the investment firm has implemented hedging strategies, competent authorities should assess the residual market risk after implementation of these strategies.

1. Pārskats

1.1 Atsauces

1.2 Identificētās prasības

1.3 Saistītie standarti

2. Identificētās prasības

3. Saistītie standarti

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