171. When determining whether P2R should be imposed for the market risk to which the institution is …

When determining whether P2R should be imposed for the market risk to which the institution is exposed, in line with paragraph 300, competent authorities should consider whether the Pillar 1 methodology adequately captures the risk, taking into account that:

• a. institutions employing the alternative standardised approach are required under Pillar 1 to calculate an add-on (residual risk add-on) for the risks inherent in complex financial products that are not sufficiently captured in the sensitivity-based method and the default risk charge;
• b. institutions employing the internal model approach or the alternative internal model approach are required to capture all material risks in those internal models;
• c. the risk-weights provided in the alternative standardised approach, the expected shortfall measures referred to in Article 325bb of Regulation 575/2013/EU and the stress scenario risk measures referred to in Article 325bk of Regulation 575/2013/EU in the alternative internal model approach are designed to cater for the positions’ liquidity in line with liquidity horizon referred to in table 2 of Article 325bd of Regulation 575/2013/EU.

1. Overzicht

1.1 Referenties

1.2 Geïdentificeerde eisen

1.3 Gerelateerde standaarden

2. Geïdentificeerde eisen

3. Gerelateerde standaarden

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