+Article 14 Assessment of adequacy of trading limits
---+Article 14 (a)
---+Article 14 (b)
---+Article 14 (c)
---+Article 14 (d)
---+Article 14 (e)
---+Article 14 (f)
---+Article 14 (g)
---+Article 14 2
|
Article 14 Assessment of adequacy of trading limits
When assessing the adequacy of trading limits referred to in Article 103(2), point (b)(ii), Article 104b(2), points (c) and (f), and Article 325bi(1), point (b), of Regulation (EU) No 575/2013, competent authorities shall verify whether:
1. Ħarsa ġenerali
| Titlu |
Regolamentazzjoni |
|
Article 14 (a)
|
the institution has a clear breakdown of trading limits that is consistent with the acceptable level of risk set by the institution and the budget of each trading desk;
|
|
Article 14 (b)
|
the choice of the trading limits reflects the trading strategy of the trading desk and the nature of the underlying risks;
|
|
Article 14 (c)
|
the trading limits include the following:
|
(i)
|
a value-at-risk limit for the maximum level of portfolio aggregation at which the internal model is applied;
|
|
(ii)
|
a value-at-risk limit for each trading desk for which the institution calculates its own funds requirement for market risk with the internal risk-measurement model;
|
|
|
Article 14 (d)
|
the institution has a further breakdown in the value-at-risk limits, proportional to the institution’s trading strategies;
|
|
Article 14 (e)
|
all internal limits, including those referred to in point (c), are properly documented and formally approved;
|
|
Article 14 (f)
|
as part of the limit approval and update process, the risk control unit assesses and documents the consistency and compatibility between the value-at-risk limits approved by the management body and the rest of the internal limits not based on value-at-risk, including sensitivities or loss trigger;
|
|
Article 14 (g)
|
the institution properly documents and formally approves an inventory of authorised instruments and underlying risk positions that traders can enter.
|
|
Article 14 2
|
For the purposes of point (c)(i), the value-at-risk limit shall be the sum of individual value-at-risk limits when the permission to use the internal model approach, as referred to in Article 325(1), point (b), of Regulation (EU) No 575/2013, has not been granted.
|
,
1.1 Referenzi
1.2 Rekwiżiti identifikati
1.3 Standards relatati
2. Rekwiżiti identifikati
3. Standards relatati
|