+190. Following the above assessment, competent authorities should form a view on the institution’s …

190. Following the above assessment, competent authorities should form a view on the institution’s …

Following the above assessment, competent authorities should form a view on the institution’s market risk. This view should be reflected in a summary of findings, accompanied by a risk score based on the considerations specified in table 8. Where, based on the materiality of certain risk sub-categories, the competent authority decides to assess and score them individually, the guidance provided in this table should be applied, as far as possible, by analogy.

Table 8. Supervisory considerations for assigning a market risk score

Risk Supervisory view scoreConsiderations •in relation to inherent risk The nature and composition of market risk exposures imply not material/very low risk.•Considerations adequate There between market strategyin relation to management and controls is consistency the institution’s risk policy and and its overall
There is a low risk of significant prudential impact on the 1 institution considering the level of inherent risk and the management and controls.• • • •The institution’s exposures to market risk are non-complex. The level of market risk concentration is not material/very low. The institution’s market risk exposures generate non-volatile returns. The nature and• •strategy The framework is robust, responsibilities separation between management functions. Market monitoringand risk appetite. organisational for market risk with clear and a clear of tasks risk-takers and and control risk measurement, and reporting
There is a medium-low risk of significant prudential impact 2 on the institution considering the the management level of inherent and controls. risk and•composition of market risk exposures imply low to medium risk. The institution’s complexity market of risk the•systems Internal control market in line institution’s Considerationsare appropriate. limits and the framework for risk are with sound and the risk in relation to
Risk Supervisory view scoreConsiderations • • • •in relation to inherent risk exposures is low to medium. The level of market risk concentration is low to medium. The institution’s market risk exposures generate returns that have a low to medium degree of volatility. The nature and composition of market risk exposures imply medium to high risk. The complexity of the institution’s market risk•adequate management risk appetite. There consistency institution’s policy andmanagement and controls strategy and is not full between the market risk strategy and its
There is a medium-high risk of significant prudential impact 3 on the the the management level institution of inherent and considering controls. risk and• • •exposures is medium to high. The concentration to high. level of market is medium risk The institution’s exposures to market risk generate returns that have a medium to high degree of volatility. The nature and composition of market risk exposures imply high risk.• •overall profile. The framework does separate and risktakers management functions. Market monitoring systems undertakenstrategy and risk not for organisational market sufficiently risk responsibilities tasks between and and control risk measurement, and reporting are not with sufficient
There is a high risk of significant prudential impact 4 on the institution considering the level of inherent risk and the management and controls.• • •The complexity of the institution’s market risk exposures is high. The level of market risk concentration is high. The institution’s exposures to market risk generate returns that have a high degree of volatility.•accuracy Internal control market with the management risk appetite.and frequency. limits and the framework for risk are not in line institution’s risk strategy or

1. Prezentare generală

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Titlu Reglementare

1.1 Referințe

1.2 Cerințe identificate

1.3 Standarde asociate

2. Cerințe identificate

Cerințe
Sursă Cerință

3. Standarde asociate

Standarde
Sursă Cerință
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