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+Article 103 1. |
Article 103 1.Institutions shall have in place clearly defined policies and procedures for the overall management of the trading book. Those policies and procedures shall at least address:
(a)
the activities which the institution considers to be trading business and as constituting part of the trading book for own funds requirement purposes;
(b)
the extent to which a position can be marked-to-market daily by reference to an active, liquid two-way market;
(c)
for positions that are marked-to-model, the extent to which the institution can:
(i)
identify all material risks of the position;
(ii)
hedge all material risks of the position with instruments for which an active, liquid two-way market exists;
(iii)
derive reliable estimates for the key assumptions and parameters used in the model;
(d)
the extent to which the institution can, and is required to, generate valuations for the position that can be validated externally in a consistent manner;
(e)
the extent to which legal restrictions or other operational requirements would impede the institution's ability to effect a liquidation or hedge of the position in the short term;
(f)
the extent to which the institution can, and is required to, actively manage the risks of positions within its trading operation;
(g)
the extent to which the institution may reclassify risk or positions between the non-trading and trading books and the requirements for such reclassifications as referred to in Article 104a. 1. Prezentare generală
1.1 Referințe1.2 Cerințe identificate1.3 Standarde asociate2. Cerințe identificate
3. Standarde asociate
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