+6. Title 6. Assessing risks to capital
---+6.1. General considerations
------+109. Competent authorities should assess and score the risks to capital that have been identified …
------+110. The purpose of this title is to provide common methodologies to be considered for assessing …
------+111. This title provides competent authorities with guidance for the assessment and scoring of the …
------+112. The title also identifies a set of subcategories within each risk category above, which need …
------+113. The decision on materiality depends on the supervisory judgement. However, for FX lending …
------+114. Competent authorities should also assess other risks that are identified as material to a …
------+115. The above elements should also be taken into account by competent authorities when they are …
------+116. For credit, market and operational risk, competent authorities should evaluate inter alia the …
------+117. When evaluating risks to capital, competent authorities should also consider the potential …
------+118. In their implementation of the methodologies specified in this title, competent authorities …
------+119. For each material risk, competent authorities should assess and reflect in the risk score: a. …
------+120. This assessment flow is represented in figure 2 below. Figure 2. Assessment workflow for risks …
------+121. When performing their assessments, competent authorities should use available information …
------+122. In the assessment of risks to capital, competent authorities should also evaluate the accuracy …
------+123. The outcome of the assessment of each material risk should be reflected in a summary of …
---+6.2. Assessment of credit and counterparty risk
------+124. When assessing the credit risk management framework, competent authorities should evaluate the …
------+125. Competent authorities should assess credit risk arising from all non-trading book exposures …
------+126. Competent authorities should take into account the possibility that these components may …
------+127. Competent authorities should assess the impact of ESG risks on the inherent credit risk as …
------+128. In addition, competent authorities should also pay attention to consideration given to ML/TF …
------+129. Competent authorities should assess credit risk from both a current and forward-looking …
------+130. To assess the inherent credit risk of an institution, competent authorities should first …
------+131. Competent authorities should focus their assessment primarily on the most significant …
------+132. Competent authorities should assess the materiality of the risk in relation to the current …
------+133. As additional source of information for the materiality assessment, competent authorities …
------+134. Competent authorities should also consider the results of stress tests performed by the …
------+135. Based on the materiality assessment performed in the previous paragraphs, as well as the size …
------+136. Competent authorities should assess the nature of the credit exposures (i.e. the types of …
------+137. To assess the nature of credit risk, competent authorities should consider at least the …
------+138. Where specialised lending exposures are deemed material, competent authorities should assess …
------+139. When assessing portfolio credit quality, competent authorities should pay particular attention …
------+140. Competent authorities should carry out an analysis to distinguish between performing …
------+141. This should result in an overall assessment on the end-to-end credit cycle of the institution …
------+142. Competent authorities should assess whether the level of loan loss provisions and credit …
------+143. When evaluating the inherent credit risk of an institution, competent authorities should also …
------+144. Competent authorities should consider the level and quality of guarantees (including credit …
------+145. Competent authorities should also assess the materiality of the residual risk (as referred to …
------+146. When assessing the impact of ESG risks and environmental risks in particular on the inherent …
------+147. To achieve a comprehensive understanding of the institution’s credit risk profile, competent …
------+148. Competent authorities should assess whether the institution has a sound, clearly formulated …
------+149. Competent authorities should assess whether the institution has an appropriate organisational …
------+150. Competent authorities should assess whether the institution has appropriate policies and …
------+151. Competent authorities should assess whether the institution has an appropriate framework for …
------+152. Competent authorities should assess whether the institution’s management body and senior …
------+153. Competent authorities should assess whether the institution has defined and implemented …
------+154. Competent authorities should assess whether the institution has a strong and comprehensive …
------+155. In conducting this assessment, competent authorities should consider whether the limit system …
------+156. Competent authorities should also assess the functionality of the internal audit function in …
------+157. For institutions adopting an internal rating-based approach to determining minimum own funds …
------+158. Following the above assessment, competent authorities should form a view on the institution’s …
------+159. The table below presents a non-exhaustive list of supervisory measures that competent …
---+6.3. Assessment of market risk
------+160. When assessing the market risk management framework, competent authorities should evaluate …
------+161. In these guidelines, references to ‘market risk’ will encompass all the following risks, which …
------+162. Competent authorities may perform a less granular analysis for institutions which meet the …
------+163. Competent authorities should take into account the impact of ESG risks on the inherent market …
------+164. Through the assessment of inherent market risk competent authorities should determine the main …
------+165. To support this analysis, competent authorities should consider, as a minimum, the products …
------+166. The first step in assessing the nature of the inherent market risk of an institution is to …
------+167. Competent authorities should base their assessment primarily on the most significant …
------+168. Competent authorities should also consider: a. the complexity of financial products (e.g. …
------+169. When appropriate, competent authorities should also consider the internal risk measures of …
------+170. Competent authorities should also assess the institution’s ability to form a comprehensive …
------+171. When determining whether P2R should be imposed for the market risk to which the institution is …
------+172. Competent authorities should identify and analyse in relation to market risk positions and the …
------+173. Competent authorities should identify the materiality of the transfer pricing in the context …
------+174. For institutions under paragraph 1733, point (a), where the profits and losses, re-allocated …
------+175. Competent authorities should analyse the historic profitability, including volatility of …
------+176. Competent authorities should distinguish between trading and non-trading revenues (such as …
------+177. For those asset classes and/or exposures generating significant profits or losses, competent …
------+178. Competent authorities should assess whether an institution has implemented adequate stress …
------+179. To achieve an adequate understanding of the management of market risk, commensurate to the …
------+180. Competent authorities should also assess the policies and procedures of institutions to …
------+181. Competent authorities should assess whether institutions have sound, clearly formulated and …
------+182. Competent authorities should assess whether the institution has an appropriate organisation …
------+183. Competent authorities should assess whether the institution has clearly defined policies and …
------+184. In particular, the assessment should cover the positions to be included/excluded from the …
------+185. Competent authorities should assess whether the institution has an appropriate framework for …
------+186. Competent authorities should assess whether institutions have in place an adequate monitoring …
------+187. Competent authorities should assess whether the institution has a strong and comprehensive …
------+188. Competent authorities should also assess whether the internal validation process is sound and …
------+189. Competent authorities should also assess the functionality of the internal audit function in …
------+190. Following the above assessment, competent authorities should form a view on the institution’s …
------+191. The table below presents a non-exhaustive list of supervisory measures that competent …
---+6.4. Assessment of operational risk
------+192. When assessing the operational risk management framework, competent authorities should …
------+193. Competent authorities should assess operational risk throughout all the business lines and …
------+194. Competent authorities should assess the materiality of operational risk arising from …
------+195. When assessing operational risk, competent authorities should assess ICT risk, pursuant to …
------+196. Competent authorities should assess whether the institution has an adequate operational …
------+197. When assessing operational risk, competent authorities should assess, if applicable, whether …
------+198. Competent authorities should assess reputational risk jointly with operational risk as it is …
------+199. Competent authorities should assess the impact of ESG risks on the inherent operational and …
------+200. Competent authorities should develop a thorough understanding of the institution’s inherent …
------+201. To support this assessment, competent authorities should consider the own funds requirement …
------+202. Competent authorities should consider at minimum key operational risk factors, potential …
------+203. Competent authorities should determine the nature of operational risk exposures by analysing …
------+204. Following the identification and analysis of the major sources and drivers of operational …
------+205. A primary source of information competent authorities should consider it is the institution’s …
------+206. Competent authorities should focus the assessment of operational risk sub-categories to those …
------+207. Competent authorities should consider the following when assessing the relevance and …
------+208. Competent authorities should consider whether the institution may occur any expenses, fines …
------+209. However, the competent authority should apply a forward-looking approach, also considering the …
------+210. Under the operational risk, competent authorities should assess model risk, with specific …
------+211. For the assessment of model risk, competent authorities should consider: a. to what extent and …
------+212. When models are used for decision-making purposes (e.g. product pricing, AI models, evaluation …
------+213. When conducting the model risk assessment, competent authorities should consider the …
------+214. In line with DORA, competent authorities should review the institution’s identification …
------+215. Competent authorities should review the institution’s relevant documentation, methodology and …
------+217. Competent authorities should then map the identified material ICT risk into the ICT risk …
------+218. Competent authorities should assess the framework and arrangements the institution has in …
------+219. Competent authorities should assess whether the institution has a sound, clearly formulated …
------+220. Competent authorities should assess the institution’s compliance with Article 323 of the …
------+221. Competent authorities should assess whether the institution has a strong control framework and …
------+222. Competent authorities should also assess the functionality of the internal audit function in …
------+223. Competent authorities should assess the institution’s compliance with the (i) EBA Guidelines …
------+224. Competent authorities should assess whether the institution has established effective business …
------+225. Competent authorities should determine whether the institution’s business continuity …
------+226. Competent authorities should assess whether the institution’s business continuity, response …
------+227. Competent authorities should also assess whether testing results are documented and reported …
------+228. Competent authorities should assess the institution’s compliance with the DORA and the EBA …
------+229. Competent authorities should assess how the roles and responsibilities for all ICT-related …
------+230. Competent authorities should develop a thorough understanding of the institution’s ICT risk …
------+231. When assessing ICT risk management, competent authorities should pay particular attention to …
------+232. Competent authorities should consider whether the internal audit function is effective and …
------+233. Competent authorities should assess the reputational risk to which the institution is exposed …
------+234. When assessing the relevance of reputational risk, competent authorities should consider the …
------+235. Competent authorities should consider both internal and external factors or events that might …
------+236. Competent authorities should assess the significance of the institution’s reputational risk …
------+237. In the context of the operational risk analysis, competent authorities should take into …
------+238. Competent authorities should bear in mind that any institution can be exposed to ML/TF risk …
------+239. Competent authorities should share relevant information on operational risk issues identified …
------+240. Competent authorities should assess whether the institution has implemented adequate …
------+241. Competent authorities should form a holistic view on the ability of the institution to deliver …
------+242. Competent authorities should consider the attention given by the management body and senior …
------+243. Following the above assessment, competent authorities should form a view on the institution’s …
------+244. The table below presents a non-exhaustive list of supervisory measures that competent …
---+6.5. Assessment of interest rate risk and credit spread risk arising from non-trading book activities
------+245. When assessing the inherent interest rate risk arising from interest rate-sensitive positions …
------+246. Competent authorities should assess IRRBB, including hedges for these positions, irrespective …
------+247. Competent authorities should consider the relevance and materiality of at least the following …
------+248. Assessment of IRRBB should be differentiated from assessment of CSRBB that competent …
------+249. Based on the overall assessment of the inherent risk of IRRBB and the risk management and …
------+250. Through the assessment of the inherent level of IRRBB, competent authorities should determine …
------+251. To determine the scope of the IRRBB assessment, competent authorities should first identify …
------+252. Competent authorities should form a clear view on how changes in interest rates can have an …
------+253. For this purpose, competent authorities should analyse and form a clear view on the structure …
------+254. In addition, competent authorities should review the institution’s hedging strategy and the …
------+255. Competent authorities should also pay attention to any concentrations (e.g. in the loan or …
------+256. When analysing the impact on the institution’s earnings, competent authorities should be aware …
------+257. When analysing the impact on the institution’s economic value and earnings, competent …
------+258. Where the institution is identified as an outlier by the supervisory outlier test on net …
------+259. Competent authorities should pay attention to the sensitivity of cash flows to changes in the …
------+260. In addition to using the supervisory outlier test stipulated in Article 98(5) of Directive …
------+261. In their quantitative assessment, competent authorities should also consider the results of …
------+262. When analysing the results of both the impact of the supervisory outlier tests, and the …
------+263. Competent authorities should assess and take into account the results of the interest rate …
------+264. If, when the outcome of the institution’s shock scenarios and stress tests is reviewed …
------+265. To achieve a comprehensive understanding of the institution’s interest rate risk profile in …
------+266. Competent authorities should assess whether the institution has a sound, clearly formulated …
------+267. Competent authorities should assess whether the institution has an appropriate organisational …
------+268. Competent authorities should assess whether the institution has clearly defined policies and …
------+269. Competent authorities should assess whether the institution has an appropriate framework for …
------+270. In addition, they should consider whether the information systems and measurement techniques …
------+271. Competent authorities should assess the institution’s approach to modelling the behaviour of …
------+272. Competent authorities should consider whether the institution’s internal measurement systems …
------+273. Competent authorities should assess whether the institution has an appropriate monitoring and …
------+274. Competent authorities should assess whether the institution has a strong and comprehensive …
------+275. Through the assessment of the inherent level of CSRBB, competent authorities should understand …
------+276. To determine the scope of the CSRBB assessment, competent authorities should first identify …
------+277. Competent authorities should form a clear view on how changes in credit spreads can have an …
------+278. When analysing the impact on the institution’s earnings, competent authorities should consider …
------+279. Competent authorities should consider the results of the institution’s methodologies for …
------+280. To achieve a comprehensive understanding of the institution’s credit spread risk profile in …
------+281. The review of the institution’s governance of CSRBB should include the following elements: a. …
------+282. For the assessment of these areas, competent authorities should refer to section 6.5.2.2 on …
------+283. When analysing the perimeter of assets and liabilities covered by the CSRBB assessment, also …
------+284. To analyse the institution’s measurement of CSRBB, competent authorities should consider …
------+285. Competent authorities should check the exclusion of idiosyncratic spread in the institution’s …
------+286. Competent authorities should assess whether the institution has an appropriate framework for …
------+287. Competent authorities should consider whether the institution’s internal measurement systems …
------+288. Competent authorities should assess whether the institution has an appropriate monitoring and …
------+289. Competent authorities should assess whether the institution has a strong and comprehensive …
------+290. Following the above assessments, competent authorities should form a view on the institution’s …
------+291. The table below presents a non-exhaustive list of supervisory measures that competent …

6. Title 6. Assessing risks to capital

6. Title 6. Assessing risks to capital

1. Prezentare generală

,
6.1. General considerations

6.1. General considerations
6.2. Assessment of credit and counterparty risk

6.2.1. General considerations
6.3. Assessment of market risk

6.3.1. General considerations
6.4. Assessment of operational risk

6.4.1. General considerations
6.5. Assessment of interest rate risk and credit spread risk arising from non-trading book activities

6.5.1. General considerations

1.1 Referințe

1.2 Cerințe identificate

1.3 Standarde asociate

2. Cerințe identificate

Cerințe

3. Standarde asociate

Standarde
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