Financial and capital market Commission, the provisions of regulations no 198 in 2016 on 29 November (financial and capital market Commission Council meeting No. 42 4. p.)
Permission to use in the calculation of capital requirements for internal models, approaches and methods in accordance with European Parliament and Council Regulation (EC) no 575/2013 (26 June 2013) for the prudenciālaj requirements for credit institutions and investment firms, and amending Regulation (EC) No 648/2012 legislative provisions of the receipt Issued in accordance with the law of credit institutions the third subparagraph of article 50 and the financial instruments market law 123.5 the second paragraph of article i. General questions 1. "permission to use in the calculation of capital requirements for internal models , approach and methods in accordance with European Parliament and Council Regulation (EC) no 575/2013 (26 June 2013) for the prudenciālaj requirements for credit institutions and investment firms, and amending Regulation (EC) No 648/2012 receipt regulations "(hereinafter-the rules) are binding on the Republic of Latvia registered credit institutions and investment firms (hereinafter the authority), which is binding upon the European Parliament and Council Regulation (EC) no 575/2013 (26 June 2013) for the prudenciālaj requirements for credit institutions and investment brokerage firms, and amending Regulation (EC) No 648/2012 (hereinafter the EU Regulation No. 575/2013). The rules determine the order in which the financial and capital market Commission (hereinafter the Commission) allows the body to use: 1.1 to the internal ratings based (hereinafter referred to as the IRB) (Internal ratings Based) approach for credit risk exposures to risk weighted value calculation; 1.2. develop measurement approach (hereinafter AMP) (Advanced measurement Approach) operational risk capital requirements; 1.3. the internal model method (hereinafter-IMMA) (Internal Model Method) counterparty credit risk exposures the calculation of values; 1.4. the internal model of the market risk capital requirements for the calculation (hereinafter IMTR), which includes the risk value (hereinafter RPVS), (value at Risk) the internal model, the internal model of incremental default and migration risks (hereinafter IRC) (internal model for incremental default and migration risk) and correlation trading internal model (internal model for correlation trading), which are used for market risk capital requirements calculated in accordance with EU Regulation No. 575/2013 under Title IV of part three, Chapter 5; 1.5. other internal models, approaches and methods in accordance with EU Regulation No. 575/2013.2. Rules also apply to institutions that are registered in the Republic of Latvia in the European Union, the parent credit institution registered in Latvia in the European Union of the parent investment brokerage company, registered in the Republic of Latvia in the European Union the financial holding company of the mother or in the Republic of Latvia to the European Union established parent mixed financial holding company, (hereinafter referred to as the consolidation of the group parent company) and its subsidiary joint submissions rules 1.1-1.4. authorization referred to in paragraph 1. 3. rules 1.1-1.4. point of authorization referred to in the report, the authority of the institutions that want to get 1.1-1.4 of the authorisation referred to in paragraph along with the consolidation of the Group's parent company, list (annex 1), the information specified in the provisions and documents accompanying the application list (annex 2). The list of institutions includes the institutions own funds requirements, exposure or risk weighted exposures the calculation of the value of the internal model planned for later use in accordance with the phased implementation plan. 4. the rules referred to in paragraph 1.5 of the licensing authority shall submit the application, the information specified in the provisions and documents accompanying the application list (annex 2). 5. the application of the provisions of 1.1-1.5. authorization referred to in paragraph 2 shall be submitted to the Latvian language. Rule 2 of the case referred to in the documents attached to the application can be submitted in English. 6. If the rules 1.1-1.5. the authorisation referred to in paragraph 1 for the necessary information has already been submitted to the Commission and later changes to the information there, it indicates in the application and this information is not provided.
7. the authority shall apply the provisions of 1.1-1.5. authorization referred to in paragraph 2, in agreement with the Commission before the application deadline. 8. If the application submitted to the authority, which is a consolidation of the Group's parent company, and the application referred to several authorities, rule 13-53. information referred to in paragraph 1 shall be provided for each institution and documents accompanying the application list (annex 2) notes that of the institutions referred to in the application document is applied. 9. If the institution has received or expects to receive more of the terms of the authorisation referred to in paragraph 1, rule 24, 34, 42, 53 and 54. the information specified in paragraph shall be submitted for each internal model approach or method. 10. The authority which has received 1.3 or 1.5 of the rules referred to in paragraph shall be obliged to inform the Commission of any significant changes in the information accompanying the application. 11. the authority which received the rule 1.1., 1.2 or 1.4. authorization referred to in paragraph 1 and take the extension or changes in accordance with the Commission's delegated Regulation (EU) no 529/2014 (12 March 2014), complementary to the European Parliament and Council Regulation (EC) no 575/2013 with regard to technical regulatory standards to assess the internal ratings based approach and advanced measurement approach for the extension and change of materiality submit article 8 of that regulation laid down in the documents in the order corresponding to the extension or change of significance. 12. the authority which has received 1.3 or 1.5 of the rules referred to in paragraph, at least every three years to restore the provisions of annex 5 or 7. requested information and submit it to the Commission. II. Permission to use the IRB approach for exposure risk weighted in the calculation of required information receiving 13. Permits exposure risk weighted value calculation to use the IRB approach, the authority shall provide the Commission with at least the following information: 13.1. Description of the organisational structure of the authority; 13.2. the introduction and use of the IRB approach; 13.3. IRB approach implementation plan (including the phased implementation plan, if any is applied); 13.4. credit risk management organization; 13.5. rating systems applications; 13.6. tension test procedure and results; 8.5. the rating system used for the description of data management; 13.8. rating system inspection; 13.9. IRB approach effects on the exposure risk weighted value of evaluation; 13.10. rating systems; 13.11. the IRB approach in the exposure of risk weighted exposure amounts calculated in compliance with EU Regulation No. 575/2013 169-191. the requirements set out in article assessment (annex 3); 13.12. other documents and compliance self assessment (annex 7), which certifies the conformity of the IRB approach the EU Regulation No. 575/2013 requirements and other regulatory requirements of the binding (such as regulating technical standards, developed on the basis of EU Regulation No. 575/2013 delegation, contained requirements), in so far as they are applicable and are not included in the provisions of annex 3. 14. information on the organisational structure of the Authority include the following minimum information: 14.1. the organisational structure of the authority a graphical representation and, if an application submitted to the authority, which is the parent company of the consolidation group, the structure of the Group and the credit risk management group in a graphical representation of the Organization; 14.2. information on planned changes to the institutions and the consolidation group structure or credit risk management organisation (where provided). 15. the implementation and use of the IRB approach description shall include at least the following information: 15.1 exposure categories (in accordance with EU Regulation No. 575/2013 147. defined in article list of exposures) the exposures the calculation of risk weighted approach (IRB approach, the authority itself performs only a probability of default (hereinafter PD) estimates, IRB approach, the authority itself take the loss that may occur in the event of default , (hereinafter referred to as the LGD) and estimates of degrees of adjustment, or standardised approach), their usage rate (as a percentage of the total value of exposures), cases will be used in the EU Regulation No. 575/2013 article 150, paragraph 1, of the opportunities constantly not to use the IRB approach, and do not use; 15.2. rating system used in the list, including the information on the rating system is or will be used for each exposure category. If the application submitted to the authority, which is a consolidation of the Group's parent company, also includes information about the rating system is or will be used in each of the subsidiary companies. 16. the IRB approach in the implementation plan, t.sk. the phased implementation plan if, at the time of the application of the IRB approach is not yet fully implemented in all categories of exposures include rating system and internal model development, testing, employee training URu.tml. with the introduction of the activity time schedule (for example, using a Gantt chart or a similar tool). 17. information on credit risk management organisation shall contain at least the following information: 17.1. Management (Council, Board and board directly under the existing Divisional Manager) function description (clearly indicating the matters which the senior management of delegated their rights to make decisions); 17.2. the credit risk control unit function description; 17.3. outsourcing of credit risk control function of the description; 17.4. the procedures applied to ensure that the EU Regulation No. 575/2013 referred to in article 190 credit risk control unit in compliance with the requirements of independence; 17.5. the report on credit risk management of the preparation and submission of the order, as the IRB approach and how often the introduction of related departments in preparing and submitting reports on risk management, responsible parties, internal auditor and management, including information on the use of the data contained in the accounts of the institution's strategy for future action; 10.9. the internal audit function for the introduction and use of the IRB approach for process control; 17.7. the external auditors and other third parties (if used) functions relating to the implementation and use of the IRB approach for process control; 11.1. the rating system and the changes in the approval procedure; 11.1. the external activities of the internal model control procedure. 18. the information on the rating system uses include at least the following information: 18.1. rating systems everyday usage as the authorities and the risk management process and an integral part of the procedure, including information on the use of the IRB approach in each of the following areas: 18.1.1. the credit granting process; 18.1.2. individual and portfolio limits; 18.1.3. awareness of credit risk management, including a review of the structure, frequency and the latest prepared statements; 18.1.4. the expected loss calculation and accrual of uncertain debts. 18.1.5. level of risk acceptable to the (risk appetit); 18.1.6. profitability of the institution and evaluation of performance; 18.2. the difference, if any, between the parameters that are used for exposure risk weighted in the calculation and internal purposes (for example, the internal capital adequacy assessment process (Internal Capital Adequacy assessment process)), listing; 18.3. compliance with EU Regulation No. 575/2013 title II of part three, Chapter 3 section 6 of the above requirements for rating systems use ratings; 18.4. the institutions providing the infrastructure, the use of the rating system description, including information technology systems, employee skills and resources, development of the methodology of rank, a new rating system and internal models of internal approval process and information which the Authority considers necessary to provide. 19. information on the tension test procedure and results include information about authorities stress testing programme, methods and their compliance with EU Regulation No. 575/2013 article 177 of those requirements, as well as procedures for reporting to the Governing Board for the stress test results. 20. information on the rating system used in data management includes at least the following: 20.1. data architecture, including information on data collection and storage, as well as the aggregate exposure risk weighted calculation; 20.2. the institutions of the EU regulation compliance data no 575/2013 article 176-180 and 181 in paragraph 1 of article requirements verification procedures established; 20.3. an explanation of the rating system used by realisation data and historical merits, including information on the deficiencies in the data used and their impact on risk weighted exposure value calculation; 20.4. information about external data and data collected together with other institutions, and their impact on the use of historical data. 21. Rating system test document contains at least the following information: 21.1 the regular rating system, the use and effectiveness of inspection procedures; 21.2. the authorities access to information on the ratings system test, including information about the rating system and it includes the resolution of the internal model (discriminativ power) and calibration (calibration), i.e. a predetermined standards of conformity, checks (checks are performed only if the rating systems or internal models, provides only relevant information), especially with regard to loans with a low probability of default; 21.3. the information about the ways the Board make sure that ratings system or that it contains the internal model (optionally can provide information about the rating system and internal model) the suitability of the actual operation of the authority and compliance with its operational objectives. 22. the use of the IRB approach effects on the exposure risk weighted calculation of assessment includes at least the following information for each exposure category, which the IRB approach has been or will be applied to: 22.1. risk weighted exposure values that are calculated by using the EU Regulation No. 575/2013 title II of part three of the requirements referred to in section 3; 22.2. explanation of security, vērtspapirizēšan and credit derivative financial instruments and their effect on the exposure risk weighted value of evaluation. 23. the Provision of the information referred to in paragraph 22 of the consolidation group is also provided as a whole (if the application submitted to the authority, which is a consolidation of the Group's parent company) and for each exposure category (in accordance with EU Regulation No. 575/2013 article 147, paragraph 2, the exposure category listing). 24. the rating system document contains at least the following: 24.1. rating systems; 24.2. the rating system used by the use of internal models: PD, LGD, the degree of adjustment; 24.3. the exposure category or categories for which the rating system applies; 15.2. the products or customers, to which the rating system; 15.2. the rating system used internally developed a list of the internal model, including information on each model's importance rating system, expressed as a percentage of the exposures, to which the rating system, the value of the total; 24.6. the rating system used in the external list of internal models developed, including information on each model's importance rating system, expressed as a percentage of the exposures, to which the rating system, the value of the total; 15.3. date when the ratings system was first or will be implemented; 15.4. rating system includes the exposure value; 15.5. rating system includes the risk weighted exposure value; 24.10. rating system includes the debtor or transaction; 24.11. event of default of the actual number and the actual institution of the damage assessment of a defined period, giving this period; 24.12. the procedure for derogation from the procedures for the determination of rank; 24.13. derogation from the procedures for the determination of the appropriate rank of the actual number and relative frequency (relative to the rating system includes the number of transactions) for a defined period, indicating the period; 24.14. exposures for which the default occurred, the assigned rating review procedures; 24.15. information about authorities estimated LGD and the adjustment notches; 24.16. indication of the rating system automation, i.e. the extent to which rating systems requiring manual steps. Assessments made in paragraph 4 of the system: 1-fully automated; 2 – largely automated; 3 – mostly manual; 4-fully manual; 24.17. If the institution uses external data, external data sources list, including more external data comparison and their conditions of use; 24.18. latest rating system, specifying the date of the check test results confirmed the person; 24.19. rating system, a summary of the test results, including: 24.19.1. information on rating system or the internal models used in the verification of the accuracy of the data used; 24.19.2. information on the results obtained using the rating system or the internal model used, the outcome of the action (such as PDAS) comparison with other internal or external rating systems or models of performance; 24.19.3. information on statistical methods or tests that are applied to estimate the rating system or the internal model used, including the results of these tests, as well as information about the internal threshold or the permissible deviations from planned indicators of irregularities; 24.19.4. information on statistical methods or tests that are applied to estimate the rating system or the internal model used, calibration, including the results of these tests, as well as information about the internal threshold or the permissible deviations from planned indicators of irregularities; 24.19.5. information on qualitative methods, which are used to continuously verify the rating system or used internal model of compliance with EU Regulation No. 575/2013 title II of part three, Chapter 3 section 6 subsection 4 of these requirements and the integrity and consistency of use; 24.19.6. Description of the deficiencies found and recommendations need to be made to the works; 24.20. If the rating system has not yet been formally approved internally or have undergone internal review of its operations – information about the checks that were made to the rating system during development, as well as future plans for a ratings system for inspection. 25. the use of the IRB approach exposure risk weighted exposure amounts calculated in compliance with the requirements of the authority for carrying out self-assessment rules annex 3 covering the EU Regulation No. 575/2013 title II of part three, Chapter 3 section 6 of such requirements for the use of the IRB approach for risk weighted exposure value calculation, as well as the rules of annex 7, in which it includes the compliance model for use by other IRB Awards regulatory requirements not covered by the provisions of annex 3, self assessment. Through self-assessment, the authority: 25.1. evaluate and justify the degree of compliance with each of the provisions contained in annex 3 criteria, based on internal documents, policies, procedures, reports, etc., documents accompanying the application; 25.2. in the event of non-compliance is found, or partial non-compliance with the provisions of annex 3 of the criteria referred to in the assessment of the conformity of the complementary objectives of the planned action; 25.3. the self-assessment of the performance of process descriptions, including the names of the persons and their responsibilities in conducting self-evaluation; 25.4. evaluate and justify the other IRB approach to requirements, which are not included in annex 3 of the provisions on the basis of internal documents, policies, procedures, etc., the documents to accompany the application. III. Permission to use the AMP for operational risk capital requirements for the determination of the necessary information 26. Permission to use the AMP for operational risk capital requirements, the authority shall submit to the Commission the following information at least: 26.1. Description of the organisational structure of the authority; 26.2. the introduction and use of the AMP; 26.3. AMP implementation plans (including the phased implementation plan, if any is applied); 26.4. operational risk management organization; 26.5. AMP application description; 16.5. data used to control the AMP and integrity; 16.6. AMP; 16.7. The AMP checks documents of operation; 26.9. AMP for use in operational risk capital requirements in setting eligibility requirements assessment (annex 4); 26.10. other documents and compliance self assessment (annex 7), which certifies compliance with EU regulation of AMP no 575/2013 requirements and other regulatory requirements of the binding (such as regulating technical standards, developed on the basis of EU Regulation No. 575/2013 delegation, contained requirements), in so far as they are applicable and not included in annex 4 provisions. 27. information on the organisational structure of the Authority include the following minimum information: 27.1. the Authority's organizational structure and a graphical representation of the application, if submitted to the authority, which is the parent company of the consolidation group, the Group's structure and operational risk management group in a graphical representation of the Organization; 27.2. information on planned changes to the institutions and the consolidation group structure or operational risk management organisation (where provided). 28. the introduction and use of AMPS description includes at least the following information: 28.1. AMP use impact on the institution's capital requirement assessment in absolute terms compared to the same capital requirement calculations carried out using one of the following methods-fundamentals approach, standardised approach, alternative standardised approach – or a combination of them (in accordance with EU Regulation No. 575/2013 title III of part three of the above), indicating the evaluation period; 28.2. the consolidation of the Group's parent company to provide information on its subsidiary used approaches and approaches used for operational risk capital requirements (in accordance with EU Regulation No. 575/2013 part three, title III, Chapter 2-4 of those approaches), or subsidiaries of the use of the parent company of different approaches; 28.3. for information on the planned partial use of the AMP (in accordance with EU Regulation No. 575/2013 article 314 cases referred, including partial use of the grounds). 29. the implementation plan, the AMP t.sk. the phased implementation plan, if at the time the application is not yet fully implemented the AMP, AMP includes the development, testing, employee training URu.tml. with the introduction of the activity time schedule (for example, using a Gantt chart or a similar tool). 30. information on operational risk management organisation shall contain at least the following information: 30.1. the institutions used for operational risk management methods; 30.2. Management (Council, Board and board directly under the existing Divisional Manager) function description (clearly indicating the matters which the superior leadership delegate their authority to make decisions); 30.3. operational risk management unit function description and procedures are applied to ensure its independence; 18.9. the internal audit function for the introduction and use of process & control; 5. the external auditor and other third party (if used) functions relating to the implementation and use of the AMP process control; 30.6. the description of the management information system, including in each authority level made the content of the information and a brief description and a sample, as well as explaining how you determine the necessary amount of information and content, and how it is reviewed; 19.1. information about the decision-making process for the management of operational risk, as well as examples for the implementation of this process in practice, different levels of authority, including the operational risk identification. 31. information about AMP applications shall contain at least the following information: 31.1. documents proving the use of daily operational and risk management processes; 31.2. the institutions providing the infrastructure, the use of description, and including information technology systems, employee skills and resources, a new system of testing and implementation, information which the Authority considers necessary to provide. 32. information on data management used the AMP and integrity shall contain at least the following information: 32.1. data architecture, including information on data collection and storage; 32.2. the institutions selected data standards (in accordance with EU Regulation No. 575/2013 part three, title III, Chapter 4 of the criteria used for the AMP elements), including data accuracy, completeness and compliance requirements for equity purposes rating procedures; 32.3. news on information technology systems business continuity assurance procedures, including information about the system downtime incidents (number, reason, indicating the period) and restoration of the intended action. 33. AMP document contains at least the following: 33.1. institutions for the implementation of the chosen approach AMP description (for example, loss distribution approach (the loss Distribution Approach), the scenario-based approach (scenario Based Approach) or risk factors and control approach (Risk drivers and controls Approach)); 33.2. information about AMP approach, including information on whether the same approach is used throughout the institution or its use varies depending on the scope and type of operational loss, as well as providing access to reasons for the choice; 33.3. The AMP and the basic assumption contained parameters (including exceptions), as well as justification for the assumptions and parameters and their effects on the performance evaluation of the AMP; 33.4. the assumptions and parameters and compliance with authorities actual operational risk parameters evaluation procedures; 33.5. information on four elements (in accordance with EU Regulation No. 575/2013 part three, title III, Chapter 4-internal data, external data, the data for the scenario analysis and data on indicators that reflect the specificity of the environment the Authority's business and internal controls) use (specific gravity) AMP, including weighing these elements; 20.9. inspection procedures used conform to the AMP EU Regulation No 575/2013 part three, title III, Chapter 4 of the four elements laid down in the criteria for use; 20.9. authority and activities, its elements, the results of the test and parameter descriptions, evaluating the safety of the operation of the AMP and the reliability of results; 33.8. authorities for an explanation of the methods used and the balance between stability and speed of operation; 21.1. explanation of loss associated with several areas of activity, distribution methods, including a description of these methods; 33.10. information about how AMP takes into account environmental factors in the institution and the changes; 33.11. policy of insurance for use in reducing operational risk, including information on the method of authority that the captive or associates insurance company signed an insurance contract or an assignment of the contract are not taken into account as a risk reduction; 33.12. information about insurance coverage reflected the reduction of operational risk calculation (in accordance with EU Regulation No. 575/2013 referred to in article 323); 33.13. other instruments that do not have insurance, for use in the reduction of operational risk, as well as information on their nature, compliance with EU Regulation No. 575/2013 article 323 requirements and the inclusion of AMP;
33.14. rationale for the use of the common correlation between operational risk capital requirements; 33.15. the explanation for the correlations estimated detection methods and their underlying empirical evidence; 33.16. explanation of the way the AMP is taken of the correlation, and found the yield (compared with the result obtained, without taking into account the correlation) from the acquired level of diversification; 33.17. the correlation assumption used in the verification process, including information on the assumption of validity checks; 33.18. the correlation of the procedure the assumption of validity, relevance and accuracy for continuous testing; 33.19. information on bodies of approaches to its overall operational risk capital requirements for the calculation (in accordance with EU Regulation No. 575/2013 title III of part three of the above requirements); 39. If the application submitted to the authority, which is the parent company of the consolidation group, information on the operational risk capital allocation between the different institutions of the Group methodology. 34. the documents operational checks and include at least the following information: 34.1. regular operation, use the AMP and efficiency test procedures; 21.3. information about the ways that management make sure AMP relevance institutions operational risks; 21.3. the institutions used the AMP the action description of the checks and authorities view on verification methods. 35. The AMP for use in operational risk capital requirements in determining compliance requirements for the conduct of self-evaluation, the authority uses the rules of the annex containing the EU Regulation No. 575/2013 part three, title III, Chapter 4 of these requirements in AMP for use in operational risk capital requirements, as well as in the calculation of the provisions of annex 7, in which it includes self-assessment of compliance on the other AMP use whichever regulatory requirements not covered by the provisions of annex 4. Through self-assessment, the authority: 21.8. examine and justify the degree of compliance with each of the provisions contained in annex 4 of the criteria on the basis of internal documents, policies, procedures, reports, etc., documents accompanying the application; 21.9. in the event of discrepancy or non-compliance with the provisions of part 4 criteria referred to in the annex, accompanied by an assessment of compliance with the objectives of the planned action; 35.3. the self-assessment of the performance of process descriptions, including the names of the persons and their responsibilities in conducting self-evaluation; 35.4. evaluate and justify the other AMP use requirements, which are not included in the annex of the rules, based on internal documents, policies, procedures, etc., the documents to accompany the application. IV. Permission to use the IMM counterparty credit risk exposures the calculation of the value of the information required for receiving 36. Authorisation of the credit risk of the counterparty's exposure value calculation use the IMM, the authority shall provide the Commission with at least the following information: 36.1. introduction and use the IMM description; 36.2. IMM implementation plans (including the phased implementation plan, if any is applied); 36.3. the counterparty credit risk management organization; 36.4. IMMA use; 22.7. the internal model used, data management and integrity; 22.7. the internal model; 22.8. the internal model of inspection activities; 22.9. IMMA use counterparty credit risk exposures the calculation of the value of the required conformity assessment (annex 5); 22.9. other documents and compliance self assessment (annex 7), which certifies compliance with EU regulation IMM no 575/2013 requirements and other regulatory requirements of the binding (such as regulating technical standards, developed on the basis of EU Regulation No. 575/2013 delegation, contained requirements), in so far as they are applicable and are not contained in annex 5 of the provisions. 37. information on the implementation and use of the IMM shall contain at least the following information: 37.1. IMMA use impact on risk assessment of the value of transactions in absolute terms compared to the exposure value calculation carried out through EU Regulation No 575/2013 title II of part three, Chapter 6, 3, 4 or 5 the method referred to in section; 37.2. the consolidation of the Group's parent company to provide information on its subsidiary methods of counterparty credit risk exposure values (in accordance with EU Regulation No. 575/2013 title II of part three, Chapter 6, 3-6. the methods referred to in section), if the consolidation group, the parent company and its subsidiary have submitted a joint application; 37.3. information on planned changes to the institutions and the consolidation of the organisational structure of the Group (where provided); 23.2. the type of exposure that the authority intends to apply the IMM, listing (based on the EU Regulation No. 575/2013 article 273, paragraph divisions) and total number of business partners (representative purposes can also add information about the extent of the transaction); 37.5. the types of exposures, which (if any) the authority intends to use the EU Regulation No. 575/2013 article 283, paragraph 3 of the introduction of the progressive; 23.4. the types of exposures, which (if any) the authority is preparing a IMM (EU Regulation No 575/2013 283. in the cases referred to in article); 37.7. types of exposures, which (if any) Authority is going to use the IMM in combination with EU Regulation No. 575/2013 title II of part three, Chapter 6, 3, 4 or 5 the methods described in the section (in accordance with EU Regulation No. 575/2013 article 273, paragraph 1, and article 283, paragraph 4); 23.5. information on whether the calculation of the credit institution, IMMA be used in combination with the standardised approach or IRB approaches. 38. IMM implementation plan, as well as the phased implementation plan, if at the time the application is not yet fully implemented the IMM, IMM or phased implementation includes implementation time schedule (for example, using a Gantt chart or a similar tool). 39. information on the credit risk of the counterparty management organisation shall contain at least the following information: 24.3. Management (Council, Board and board directly under the existing Divisional Manager) function of the counterparty credit risk management; 24.4. the risk-control unit, which controls the credit risk of the counterparty, and procedures that are applied to ensure its independence; 39.3. internal audit function the internal implementation and use of the model control process; 24.5. the external auditors and other third parties (if used) functions relating to the implementation of the internal model and process of use control description;
24.5. the security management; 24.6. information on the activities of the internal models of organizational structure; 24.7. externally developed internal models, the following operational control; 24.7. information about the stress tests, the program and the stress test results. 40. information on the use of the internal model shall contain at least the following information: 24.9. documents certifying the use of the internal model of the counterparty credit risk management processes; 40.2. Management addressed reports that are used in the credit risk of the counterparty and which includes information on concentration risk, general correlation risk correlation of specific risks and the stress test results. 41. information on the internal model control and data integrity includes at least the following: 41.1. the institutions selected data description standards; 41.2. the data architecture, including information on data collection and storage as well as data fusion methods of exposure value calculation. 41.3. the institution's internal model used data in compliance with EU Regulation No. 575/2013 283 criteria set out in article assessment, as well as data accuracy, completeness and compliance exposure value calculation needs assessment procedures; 25.7. details of the information technology system for the operation of the presumption; 25.8. news on information technology systems business continuity assurance procedures, including information on the activities of the break (reason number, indicating the period) and restoration of the intended action. 42. Internal model document contains at least the following information: 42.1. details on the use of the internal model including information on the Authority's departments, products and risk factors; 26.2. the documents, which include internal model used in creating the parameter, the assumption, assumptions and limitations, as well as the description of the risk modeling, security, including the effects of impact and margin (margin agreement) Agreement impact modeling descriptions; 26.3. for information on market data, including the monitoring and for the assumption of methods used in the documents; 26.3. the institutions the results of inspections carried out in relation to the internal model used, assumptions and rounding effects on the performance of the internal model's accuracy; 26.4. the institutions of the checks carried out in respect of the conformity of the internal model institutions of counterparty credit risk profile, the results, including information on: 42.5.1. correlations between the counterparty exposures (i.e., the risk that the counterparty positions change in the same market factors change simultaneously); 42.5.2. General correlation risk (general wrong-way risk) and the specific correlation risk (specific wrong-way risk); 26.5. information about any risks that do not include the internal model, assessing the importance of each risk factor; 26.5. reports on the activities of the internal model; 26.6. information on planned major changes to the internal model, if any are planned. 43. the activities of the internal model test papers include: 43.1. the regular activities of the internal model, efficiency of use and inspection procedures; 43.2. the institutions used retrospective method of inspection and analysis of the results of the checks carried out. 44. IMMA use counterparty credit risk exposures the calculation of the value of the compliance requirements for the conduct of self-evaluation authority annex 5 rules containing EU Regulation No 575/2013 286-294. the requirements referred to in article IMMA use counterparty credit risk exposures the calculation of values, as well as the rules of annex 7, in which it includes the correlation to other IMM use whichever regulatory requirements which are not contained in annex 5 of the provisions , self assessment. Through self-assessment, the authority: 44.1. evaluate and justify the degree of compliance with the rules for each of the 5 criteria contained in the annex, on the basis of internal documents, policies, procedures, reports, etc., documents accompanying the application; 44.2. in the event of discrepancy or non-compliance with the provisions of part 5 the criteria referred to in the annex, accompanied by the achievement of conformity assessment of planned activities; 44.3. the self-assessment of the performance of process descriptions, including the names of the persons and their responsibilities in conducting self-evaluation; 27.6. evaluate and justify compliance with other IMM use requirements, which are not included in annex 5 of the rules, based on internal documents, policies, procedures, etc., the documents to accompany the application. V. permission to use IMTR market risk capital requirements for the determination of the necessary information to get 45. permission to use the IMTR market risk capital requirements, the authority shall submit to the Commission the following information at least: 45.1. the introduction and use of the IMTR description; 45.2. the IMTR implementation plans; 45.3. market risk management in the Organization; 28.2. Description; use IMTR 28.3. IMTR management and data integrity; 45.6. IMTR documents; 28.4. the documents operational IMTR checks; 28.5. IMTR use market risk capital requirements in setting eligibility requirements assessment (annex 6); 28.5. other documents and compliance self assessment (annex 7), which certifies compliance with EU regulation IMTR no 575/2013 requirements and other regulatory requirements of the binding (such as regulating technical standards, developed on the basis of EU Regulation No. 575/2013 delegation, contained requirements), in so far as they are applicable and not included in annex 6 provisions. 46. the implementation and use of the IMTR description includes at least the following information: 46.1. use IMTR impact on the institution's capital requirements compared to the same capital requirement calculation, carried out through EU Regulation No 575/2013 under Title IV of part 2, Chapter 3 or 4, this method; 46.2. information on the relevant risk categories of positions that are not covered, and the evaluation of the IMTR stating that cover a significant part of the IMTR specific risk positions in accordance with EU Regulation No. 575/2013 363. Article; 46.3. the information about the market risk categories, of which the same capital requirement calculation will be used, as well as information on the IMTR market risk capital requirements calculated using the EU Regulation No. 575/2013 under Title IV of part 2, Chapter 3 or 4, the method, they risk categories, of which the same capital requirement calculation have not received permission to use internal models; 46.4. the contact information (name, phone number, e-mail address) in connection with the implementation and use of the IMTR. 47. the internal model IMTR implementation plan includes IMTR internal model development, testing, employee training URu.tml. with the introduction of the activity time schedule (for example, using a Gantt chart or a similar tool). 48. information on market risk management organisation shall contain at least the following information: 29.9. Management (Council, Board and board directly under the existing Divisional Manager) function in the management of market risks; 48.2. the risk-control unit, which controls market risks, a description of the functions and procedures that are applied to ensure its independence; 48.3. the internal audit function for the introduction and use of process IMTR control; 30.1. the external auditors and other third parties (if used) functions relating to the implementation and use of process IMTR control; 30.1. information on the activities of the internal models of organizational structure; 30.2. information on stress testing program and the stress test results. 49. information on the IMTR applications shall contain at least the following information: 30.5. documents (procedures), which certifies the use of IMTR daily market risk management processes; 30.6. the risk-control Department reports to management on the IMTR performance; 30.6. the internal audit activities of the IMTR test results. 50. information on data management used IMTR and integrity include: 50.1. the institutions selected data description standards; 50.2. the data architecture, including information on data collection and storage; 50.3. the Authority's data source consistency, timeliness, safety and inspection procedures; 50.4. the particulars of the information technology system for the operation of the presumption; 50.5. news on information technology systems business continuity assurance procedures, including information on the activities of the break (reason number, indicating the period) and restoration of the intended action. 51. the IMTR document contains at least the following information: 51.1. information on the IMTR, indicating the use of risk management, the internal model will be applied; 51.2. the document containing the parameters used in creating IMTR, assumption, assumptions made and a description of the restrictions, as well as risk modeling description; 51.3. information about any risks that do not include assessing the IMTR each risk factor significance; 51.4. the reports on the activities of the internal model; 51.5. information on planned major changes to the internal model, if any are planned. 52. the documents operational checks IMTR include at least the following: 52.1. the regular activities of the internal model, efficiency of use and inspection procedures; 52.2. information about the EU Regulation No. 575/2013. the assessment provided for in article 369 (internal validation); 52.3. IMTR conformity presumption used actual risk parameters that describes the results of the inspections; 52.4. information about the authorities created the tests compliance IMTR actual trading portfolio structure; 52.5. information about the EU Regulation No. 575/13, art. 369 c) hypothetical portfolio referred to the use of the operational stability tests IMTR; 52.6. information about the EU Regulation No. 575/2013 article 370 d) referred to the debt securities and equity securities apakšportfeļ structure, if the institution intends to perform the appropriate retroactive checks to apakšportfeļ; 52.7. authorities used retrospective method of inspection and analysis of the results of the inspections carried out, including information about the retroactive tests documented the number of overruns last (before application) 250 working days. 53. the use of market risk IMTR equity requirements in determining compliance requirements for the conduct of self-evaluation authority Appendix 6 rules covering the EU Regulation No. 575/2013 title IV of part three, Chapter 5 of the requirements referred to in the IMTR use market risk capital requirements, as well as in the calculation of the provisions of annex 7, in which it includes the compliance of other IMTR use whichever regulatory requirements which are not included in annex 6, the provisions for self-assessment. Through self-assessment, body: 53.1. evaluate and justify the degree of compliance with the rules for each of the 6 criteria in annex for each model in the internal market risk based on the type of internal documents, policies, procedures, reports, etc., documents accompanying the application; 53.2. in the event of discrepancy or non-compliance with the provisions of part 6. criteria referred to in the annex, supplemented with the objectives of the conformity assessment activities planned; 53.3. the self-assessment of the performance of process descriptions, including the names of the persons and their responsibilities in conducting self-evaluation; 53.4. evaluate and justify the IMTR use in compliance with other requirements, which are not included in the provisions of annex 6, based on internal documents, policies, procedures, etc., the documents to accompany the application. Vi. Permission to use the same capital requirement calculation for other internal methods, approaches and models in accordance with EU Regulation No. 575/2013 to receive required information 54. For permission to own capital requirements for the calculation of the use of the provisions referred to in paragraph 1.5. internal method, approach or model, the authority shall provide the following information to the Commission, taking into account the individual methods, approach or model specifics: 54.1. news about contact on (examination of application name first name, last name, title, phone number, and e-mail address); 54.2. Description of the organisational structure of the authority; 54.3. methods, approaches or the introduction and use of the model description and information on the method of risk management; 54.4. the authorities carry out the analysis that justify that a specific method of approach or model is appropriate for the particular risk profile and specific risk management; 54.5. collect data on the methods, approaches or models use a sufficiently long historical period (e.g. three years), t.sk. comparison of the calculation methods used to date, approaches or models and real historical data, as well as using the stress tests, in so far as they are applicable; the external auditor 54.6. opinion on the methods, approaches or conceptual accuracy of the model, so the inclusion of the relevant risk management and use of the positive experience; 54.7. information about the method, approach or model data source used, their accuracy and compliance with the model of the institution in question, the approach or method; 54.8. information that shows that the authorities and management experts with sufficient knowledge of methods, approaches or models of nature and how they are integrated into the risk management; compliance self-assessment 54.9. (annex 7), which declares methods, approaches or models is in conformity with the relevant EU Regulation No 575/2013-binding framework, and other requirements (such as regulating technical standards, developed on the basis of EU Regulation No. 575/2013 delegation, contained claims) based on internal documents, policies, procedures, reports, etc., documents accompanying the application; 54.10. other documents which the institutions assessment provides the basis for the authorisation of the Commission. VII. final question 55. entry into force these rules shall terminate the Commission's 19 May 2007 the Regulation No. 64 "on the internal ratings based approach, advanced measurement approaches, methods and internal models of risk values for the use of the internal model of authorization rules". Financial and capital market Commission President p. Birdie annex 1 financial and capital market Commission 29.11.2016. regulatory arrangements no 198 list of information about the contact on the contact with consideration of the application (name, surname) of the contact person title of contact person phone number and e-mail address of the consolidation group name/the name of the parent contained in the application to the Authority (name) Annex 2 financial and capital market Commission 29.11.2016. regulatory arrangements no 198 list of documents attached to the application, no p. k. The Authority's internal document name in the document Inside the latest version of the date of entry into force of the institutions to which the action applies an internal document (A) (B) (C) (D) where the application is submitted, the authority, which is a consolidation of the Group's parent company, and the following in the application.   Annex 3 financial and capital market Commission 29.11.2016. regulatory arrangements no. 198 (name of Office) (self assessment date) for the use of the IRB approach exposure risk weighted in calculating compliance self-assessment requirements 1. Rating systems 1. If the institution uses multiple rating systems, the reasons for which the debtor or transaction which will be applied to the rating system, documented and applied in a manner that appropriately reflects the risk level.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2. Rating criteria and processes periodically reviewed to determine whether they still correspond to the current portfolio and external conditions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 1.1. Rating system structure 1.1.1. Exposures to corporates, institutions, central Governments and central banks 3. Rating system takes into account the risk of the debtor and the transaction raksturojošo.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 4. Rating system creates a debtor the rating scale which reflects exclusively the debtor the risk of running a numeric expression. The debtor the rating scale provided at least seven categories of debtors who meet their obligations, and one for debtors who fail to comply with their obligations.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 5. the authority shall document the relationships between categories of debtor as to its default risk level for each category, and the criteria used to distinguish the risk level.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 6. Authority portfolios concentrated in a specific market segment and the risk of default in the range, create enough debtor categories in the range, to avoid an unnecessary concentration of debtor in a specific category.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 7. Significant concentration in any one category based on compelling empirical evidence that the debtor categories cover a sufficiently narrow interval, and that all the PDS in this category grouped debtor risk falls within that interval.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 8. authority to use own LGD estimates for certain equity requirements for the calculation, in the rating system includes individual business ratings scale present only the LGD associated with transaction raksturojošo.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 9. Class definition includes the exposures included in the category, and the criteria used to determine the level of risk for each category.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 10. Significant concentration in any one category of business based on solid empirical evidence that the class covers a sufficiently narrow LGD interval and that everything included in this category of risk exposures include in that interval.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 11. the authority, which uses the EU Regulation No. 575/2013 article 153, paragraph 5, the method for the determination of the degrees of risk in specialised lending exposures are exempt from the requirements of the debtor the rating scale, which reflect only the debtor's risk of default numeric expression to these exposures. In this case, the authority for such exposures provide at least four categories of connection missing debtors and at least one category – which the debtor defaults.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 1.1.2. Rating systems structure exposures to individuals or SMEs (retail exposure) 12. Rating system reflects both risk and debtor transaction risk and cover all the relevant debtors and transactions raksturojošo.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 13. degree of Risk differentiation shall ensure that the number of exposures in a particular category or portfolio would be sufficient to be able to clear a numeric expression to determine and validate the injury indicators raksturojošo category or portfolio level.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 14. Exposure and distribution of debtor categories or pools is made in such a way as to prevent excessive concentration.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 15. Process by which exposures are classified into categories or pools, ensure reasonable risk differentiation and sufficiently homogeneous exposure group in one category and allows you to accurately and consistently estimate damage figures category raksturojošo or portfolio level.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 16. for purchased receivables the grouping categories reflect the seller's credit granting practices and its customers.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 1.1.3. indicators Characterize exposures to grades or pools of Division 17. Dividing exposures categories or pools, the following shall be taken into account the risk of raksturojošo indicators: • the debtor's risk indicators raksturojošo; • transaction risk indicators, including raksturojošo and/or security. The authority shall clearly define the cases in which the same security applies to multiple exposures; • the absence, unless the institution can demonstrate to the Commission that this exposure is not a significant risk to delay the decisive factor.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., categorize or 1.2 pools 18. The institution has developed specific definitions, processes and criteria to categorize the exposures rating system grades or pools. They comply with at least the following requirements: • category and portfolio definitions and criteria are certainly enough detail to authority employees who were asked to take an assignment of the rating could debtors or business with similar risk consistently fall into the same category, or Briefcase. The consistency of the observed activities, departments and geographic aspects; • rating process documentation allow third parties to understand the risks categorized, or pools, to categorized and pools and to assess whether this breakdown into categories or pools is appropriate; • These criteria also conform to the institution's internal lending standards and policies for distressed debtors and problematic types of transactions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 19. Authority, debtors and business categories or pools, take into account all relevant information. Such information is up to date and allows the body to predict future exposures. Because less information is authority because it takes more cautious exposure grouping debtor and business categories or pools.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 20. If the institution uses external ratings as a key factor in determining the breakdown by the internal ratings, the authority shall ensure that account is taken of the rest of the information in question.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 1.3. classification of exposures 1.3.1. Exposures to corporates, institutions, central Governments and central banks and equity exposures for which used EU regulations No. 575/2013 article 155 (3) PD/LGD approach set out in the credit granting process 21. each debtor shall be divided into one of the categories of debtor.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 22. the authority with regard to exposures, which in accordance with EU Regulation No. 575/2013 article 143 has received permission to use own LGD estimates for and degrees of adjustment, the process of granting credit to each exposure shall be divided into the transaction category.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 23. the authority, which uses the EU Regulation No. 575/2013 article 153 paragraph describes methods to allocate risk in specialised lending exposures, each of these exposures in the appropriate category means in accordance with EU Regulation No. 575/2013 article 170 (2) of the rules.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 24. Each legal person, to which the institution has exposures is assessed individually.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 25. the body is the appropriate policy for individual customers debtors and related client groups.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 26. Separate exposures of the same debtor are classified in the same category of debtor, regardless of each individual transaction properties for any differences.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 27. Exceptions when the same debtor's individual exposures allows you to group several categories, are as follows: • there is a risk of Government transfer (transfer risk country), which depends on whether the exposure is carried out in local or foreign currency; • exposures associated guarantees a suitable procedure can take as a correction to the debtor in the category breakdown; • laws and regulations concerning the protection of consumers and the maintenance of banking secrecy or other aspects of regulatory legislation prohibits the sharing of customer data.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 1.3.2. Exposures to individuals or SMEs (retail exposure) 28. Exposures credit approval process are classified into one of the categories or portfolios.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. in certain agenda 1.3.3. exceptions (override) the authority designation of 29 categories and pools determined documented situations where subjective ratings may be important for the breakdown in the process the data or their processing results and personnel responsible for the approval of a derogation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 30. the institution shall document such derogations and responsible employees.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 31. the authority shall analyse the risks, which the rating assignment has been made, by way of derogation from the procedure laid down for the rating designation, t.sk. without taking into account the entered data or results. This analysis covers exposure to default risk by providing the actual evaluation reports on all responsible parties that approved the resignation of rating assignment policy rule.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 1.4. Allocation (rating) process integrity 1.4.1. Exposures to corporates, institutions, central Governments and central banks and equity exposures for which used EU regulations No. 575/2013 article 155 (3) PD/LGD approach set out in the Breakdown and breakdown of the 32. periodic review shall be made or approved by the independent person that does not benefit directly from the decision on the provision of credit.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 33. the authority at least once a year, review the breakdown and adjust it, if the results of the review show that the current breakdown below may not apply.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 34. High risk debtors and problematic exposures review carried out more frequently.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 35. If the body becomes available the relevant information for the debtor or exposure, it takes a new allocation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 36. the body is an effective process for obtaining the relevant information and update about the debtor's features that affect PD.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 37. Authority is an effective process for obtaining the relevant information and update about those business indicators that affect the LGD and the degree of adjustment.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 1.4.2. Exposures to individuals or SMEs (retail exposure) 38. the authority at least once a year, review the debtors and transactions assigned to breakdown and is adjusted if the review results indicate that existing breakdown below may not apply, or review each risk portfolio loss and absence status.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 39. the authority at least once a year, on a representative sample, the review of the status of individual exposures within each portfolio, to ensure that the business continues to fall into the right portfolio and adjusts the breakdown, if the results of the review show that the current breakdown below may not apply.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. using the model 1.5.40. If the Authority's exposure to a debtor or transaction allocation categories or pools uses statistical models and other automated method, the body shall ensure that, with the chosen model, impossible to get reliable forecasts and that it is not distorted as a result of the use of capital requirements.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 41. Input variables constitute a reasonable and effective basis for modeling resulting forecasts.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 42. Model does not contain significant bias.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 43. The institution has created models of data entry validation process, which includes the data precision, perfection and conformity assessment.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 44. Data used in the model is representative of the actual debtor or institution exposures.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 45. the body there is a regular model for the validation cycle that includes models of performance and stability monitoring, model specifications and the review of the outcome of the model comparison with actual results.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 46. the authority added a statistical model with a subjective judgment and supervision of employees to review the models based on breakdowns and to ensure the proper application of the model. A review procedure aimed at detecting and limiting errors associated with model weaknesses. Subjective judgment takes into account all relevant information, which has not been included in the model. The authority to determine how the documentary combines subjective judgement and model results.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 1.6. Rating system documentation 47. the authority shall determine the documentary its rating system design and operation. The documentation certifying the compliance with EU Regulation No. 575/2013 title II of part three, Chapter 3 section 6 describes the requirements and issues, including portfolio differentiation, rating criteria, the liability of persons who evaluate the debtor and exposure, the frequency of the review Division and the rating process of the administrative monitoring.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 48. the authority to determine the rationale behind the documentary, and the methods of analysis, which is based on the rating criteria.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 49. the institution shall document all major changes to the risk rating process, and this documentation helps you detect changes to the risk rating process since the last review, carried out by the competent authorities.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 50. Authority in the Organization awarding the rating document, which includes the same rating process and internal control structure.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 51. the institution shall document the specific internal use default and loss definition and ensure their compliance with EU Regulation No. 575/2013 definitions included.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 52. If the authority granting the rating process uses statistical models, it shall document the numerical model methodology. These materials: • details theory, assumptions and/or mathematical and empirical basis of estimates for categories, individual debtors, exposures or pool and data source (sources) used in the model estimation; • strict statistical processes (also the extraordinary and ārpusizlas activity checks) model validation; • specify the circumstances in which the model is not working effectively.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 53. If the authority has acquired a rating system or model, which uses a rating system from a third party seller and the seller to refuse or limit access to information to the authorities that need this rating system or model methodology or basic information used to develop this methodology or model, based on the fact that this information is the property of the seller, the authority must demonstrate compliance with EU Regulation No. 575/2013 requirements of article 175.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the corresponding point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 1.7. Data Maintenance 54. The Authority shall collect and store the data for their internal rating aspects in accordance with EU Regulation No. 575/2013 eighth.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 55. For exposures to corporates, institutions, central Governments and central banks and equity exposures for which used EU regulations No. 575/2013 article 155 (3) PD/LGD approach set out in, the authority shall collect and store the following data: • complete rating histories regarding debtors and recognised guarantors; • dates on which you made the award rating; • Basic data and methodology used in rating; • the rating assignment data of persons responsible; • information on the identity of the debtor and the exposures that were not met; • the following default date and conditions; • data on the PDS and realised default rates in relation to the rating categories and ratings migration.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., not 56. Authority uses the same LGD estimates and adjustments with respect to grades, collects and stores data on the comparison of LGD and marketed the values laid down in the EU Regulation No. 575/2013 article 161, paragraph 1, and between realized the adjustment notches and degrees of adjustment laid down in the EU Regulation No. 575/2013, article 166, paragraph 8.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 57. Authority that uses the same estimates for LGD or degrees of correction, German and store the following data: • complete data history for business ratings, and adjustment of LGD ratios for each rating scale; • dates on which you made the ratings and estimates; • Basic data and the methodology used to derive exposure ratings and LGD adjustments, estimates of degrees; • information about the person that has granted the counterparty rating and the person who made the LGD and the degree of correction estimates; • data on the estimated and realized and estimated LGD and realized the adjustment notches in connection with each exposure, which do not comply with the obligation; • data on the exposure before and after the LGD guarantee or credit derivative impact assessment, if the authority reflects the guarantees or credit derivatives credit risk mitigation effect by LGD; • data on the components of each loss exposures that do not comply with the obligation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. On 58. exposures to individuals and SMEs, the authority shall collect and store the following data: • data used for risk allocation categories of transactions or portfolios; • data on the same estimated estimated estimated LGD and PD, the adjustment notches in relation to exposure classes or portfolios; • information about the debtor and the identity of the exposures that were not met; • with regard to exposures that do not comply with the obligation, the data for the categories or portfolios that were grouped risks during the year before the default, and on actual results for LGD and the adjustment notches; • data on the level of losses under renewable exposures to individuals and SMEs.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 1.8. determination of capital adequacy stress tests used in the body have been created 59. and properly tension test testing process used in the assessment of capital adequacy. Stress testing involves a possible event or the anticipated changes in economic conditions, identification, which could adversely affect the institution's credit risk exposures and their assessment in relation to the institution's capacity to cope with such changes.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 60. Authority regularly conducts credit risk stress tests to assess the condition of certain special effects on its overall capital requirements for credit risk. The choice of test body (this may be reviewed by the supervisory authority). The successful test is significant, and shall take into account the severe but plausible scenario of economic recession.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 61. Body stress test scenario evaluated under their own ratings migration.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.., who made 62 Portfolio to stress tests, most of the content of the institution's total exposures.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 63. Institution, which used EU regulations No. 575/2013 article 153 the procedure laid down in paragraph 3, designing your own stress test system also takes account of the protection of the employer's credit quality deterioration effects, especially the Defense's impact, which does not comply with the EU Regulation No. 575/2013 specific eligibility criteria.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2. determination of Risk 2.1. Debtor the definition of implementation 64. the Authority considers that a particular debtor's default has occurred if there's been one or both of the following events: • the authority believes that the debtor is unable to repay in full its debts to the institution, its parent company or any subsidiaries of the parent company If the authority does not take measures, such as security; • the debtor is more than a 90-day delay for any major credit against the authority, its parent company or any subsidiaries of the parent company.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 65. for exposures to individuals or SMEs EU Regulation Authority no. 575/2013 article 178 paragraph 1 (a)) and (b)) provided in the default definition can be applied to individual rather than all the borrower's overdrafts.
Conformity assessment rating justification reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 66. the authority of the EU Regulation No. 575/2013 article 178 paragraph 1 (b)) needs the following considerations: (a)) overdrafts credit absence days begin as soon as the debtor is in breach of the limit, he notified shall communicate to the limit, which is less than the outstanding balance of the debt, or he has taken out loans without confirmation and the amount withdrawn is substantial; (b)) (a) of this paragraph) the notified purposes includes any credit limit, which is determined by the institution and on which the debtor has been informed; (c) the day of credit cards) begins to run from the date on which the minimum payment must be made; d) inhibit credit materiality is assessed in relation to the limit values laid down by the competent authorities. This limit reflects the risk level that it considers reasonable.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 67. institutions have documented policy regarding absence days, especially in connection with business restructuring and extension, amendment or suspension of payments, renewals and existing account mutual. This policy is applied consistently over time, and it is under the institution's internal risk management and decision-making processes.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 68. EU Regulation No 575/2013 article 178 paragraph 1 (a)) for the purposes of the inability to pay the debt to be the following: • the authority granted to the income of non-load-bearing debt debt status; • authority recognizes credit risk adjustment of specific because it is considered a significant worsening of kredītkvalitāt after the authority has assumed the risk; • the authority sells credit with significant credit-related economic loss; • the Authority agrees to debt caused financial difficulties for the restructuring, if its effect would be to reduce financial obligations, which is achieved by partial abandonment of the principal, interest payments or, where appropriate, the service fee or a deferment; in the case of equity securities that are rated, using a PDA/LGD approach, equity restructuring of financial difficulties; • authority is requested to declare bankruptcy of the debtor or to issue a similar order in respect of the debtor's debt to the institution, its parent company, subsidiary, or parent company of subsidiary companies; • the debtor has requested to declare bankruptcy or are certain bankruptcy or similar protection, the result of which may not be repaid debt authority, its parent company, subsidiary, or parent company or a subsidiary of the refund can be delayed.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 69. If the institution uses external data, which do not comply with EU regulations No. 575/2013 article 178, paragraph 1, specified in the definition of default, appropriate adjustments to these essential respects meet the definition of default.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. If the authority is of the opinion that the risk of the transaction, having in the past been defaulted, no longer applies, none of the default criteria, authority is granted to the debtor or transaction rating as you give exposure that not defaulted. If the later will be triggered in the default definition, the application shall be deemed to have joined other event of default.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.2. General requirements with regard to determining the estimated 71. numerical risk parameters to be associated with the rating categories or portfolios, the institution's own estimates of risk parameters PD, LGD, adjustments, and EL (expected loss)-containing all relevant data, information, and techniques. Making estimates, using both ancient experience and empirical evidence, and is not based solely on the feedback assumptions. Estimates are reliable and intuitive, and it is based on the relevant determination of parameters of risk factors.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 72. Because less data is the authority, because it takes more conservative PD, LGD, the degree of correction and EL estimates.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. can be divided into 73. Authority of your loss experience – the default frequency, LGD, the degree of adjustment or loss if used EL estimates – using such factors as it considers relevant risk factors of determination of parameters.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 74. Authority, estimates of the incidence of default, LGD, the degree of adjustment or loss, if used, are representative of the EL estimates a prolonged period of time.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 75. Authority takes into account any lending practices or recovery process changes the EU Regulation No. 575/2013 article 180 paragraph 1 (h)) and paragraph 2 (e)), paragraph 1 of article 181 a (j)) and in paragraph 2, and article 182 and referred to in paragraph 3 of the observation periods. Authorities estimate reflects the technical achievements, new data and other information when it becomes available. Their estimates authority report when new information is found, but not less frequently than once a year.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 76. exposures that used estimates data used to set lending standards used in data mining, and other relevant indicators are comparable to the figures, the authorities risk exposures and standards.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. data based on 77. such economic or market conditions, corresponding to the existing or anticipated conditions.
Conformity assessment rating rationale institutions internal reference the documents indicate the corresponding point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 78. data sample is sufficient number of exposures, and the data period used in the determination is sufficient for the authority to be sure of its accuracy and reliability of the estimates.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 79. for purchased receivables estimates reflect all relevant information available to the authority of the buyer purchased receivables quality, including a similar portfolio of data provided by the seller, buyer or other authority external to the source.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 80. the authority shall assess the buyer the seller's compliance with the data requirements of the authority.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 81. Authority estimates the margin of prudence, which size is determined by the estimated error of the estimated range.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 82. If it is considered that the methods and data are not sufficiently satisfactory and error estimates the expected range is greater, also a precautionary margin is greater.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 83. If the authorities risk calculation of degrees and internally use different estimates, it determines the document and must be substantiated.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 84. Data collected before 1 January 2007, the necessary adjustments have been made to ensure that they comply with the General aspects of EU Regulation No 575/2013 article 178 defaults specified in the income definition.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 85. If the institution uses data that is collected together with the other institutions, the following criteria are met: • the different agencies, jointly with German data, rating systems and the criteria are similar to those who are in authority; • share the data collected is representative of the portfolio for which they are used; • authority all the time consistently use common data, making the estimates.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 86. If the authority of the group collected data, it is still responsible for its rating system integrity.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 87. Authority sufficiently aware of their ratings system, and its ability to effectively monitor and audit rating process.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.. Specific requirements 2.2.1 for PD estimates 2.2.1.1. Exposures to corporates, institutions, central Governments and central banks and equity exposures for which used EU regulations No. 575/13 paragraph 3 of article 155 of the PDA/LGD approach 88. the authority shall carry out an appraisal of the debtor in PDAS category given the long period of time, the average one-year default rates. PD estimates debtors with very high exposure to equities or assets of the debtor that are mostly traded assets reflect the underlying asset performance, based on variations in the stress period.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 89. for purchased receivables a company debt authority may estimate the debtor categories EL based on a long period of time, the average one-year realised default rates.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. If the Authority during a period of PD and LGD estimates average purchased the customer company debts derived from EL estimates and the corresponding PD or LGD estimates, total estimates of the damage process in accordance with EU Regulation No. 575/2013 title II of part three, Chapter 3 section 6 of the established General PD and LGD estimates standards and results complies with EU regulations No. 575/2013 article 181 a prescribed LGD) concept.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 91. Authority shall use PD estimation techniques only with the analysis.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports and others 92. Authority accepts the subjective assessment of the importance of combining the results of various methods and making adjustments in relation to methods and information.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 93. as far as the authority uses internal data on cases of default to estimate PD, it reflects, in its analysis, credit granting standards and any differences between their rating system from which the data are derived and the existing rating system.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 94. If there is a change in credit granting standards or rating system, the authority shall make the PD estimates with a larger margin of safety.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 95. in so far as their internal authority categories associated with or attributed to scale used by ECAI or similar organizations, and external organizations category of performance indicators associated with categories, such extension is based on internal ratings criteria with the criteria used by the external organization and on the internal and external ratings comparison for all common debtors.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 96. Bias and inconsistency of approach or basic harmonisation is not allowed.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. used by external organisations 97. criteria that are based on data that are used in the determination is focused exclusively on the risks of default and do not reflect transaction characteristics. Analysis of the Authority include the used definitions of default comparison, taking into account EU Regulation No 575/2013 article 178. The authority shall determine the application based on the documentary.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 98. as far as the body uses statistical default prediction models, it may be estimated as the PDS individual debtor default probability of the average value in a particular category. For this purpose, the authority shall use the default probability models according to EU Regulation No 575/2013 174. the standards set out in that article.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 99. Regardless of whether authority PD estimates used in external, internal, or common data sources or a combination of all three types, used in the historical observation period of at least one source, not less than five years. If the available observation period for any source, include the extended period and this data is important, use a longer period. This paragraph shall also apply to the PD/LGD approach to equity securities.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 100. the authority which has not given permission to use the same estimated LGD and the degree of adjustment in accordance with EU Regulation No. 575/2013 article 143, may use the IRB approach in implementing the relevant data for a period of two years. The enormous length of gradually each year increased by one year, to important data covering a five year period.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.2.1.2. Exposures to individuals or SMEs 101. Authority estimated PD categories of debtor or portfolios, given the long period of time, the average one-year default rates.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 102. PD estimates may also be calculated from the total loss estimates and corresponding LGD estimates.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 103. Authority considers the internal data exposures to categorize or pools as the primary source of information for estimating loss.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 104. The determination of the authority may use external data (also shared with other authorities collected data) or statistical models, if you have created a strong link between process, which it groups the exposures categories or pools, and the process used in the external data source, as well as between the internal risk profile and the composition of the external data.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and others 105. If the Authority during a period of PD and LGD estimates of average exposures to individuals or SMES from the total loss estimates and the PD or LGD estimates, the total losses of the discovery process in accordance with EU Regulation No. 575/2013 title II of part three, Chapter 3 section 6 of the established General PD and LGD estimates standards and results complies with EU regulations No. 575/2013 article 181 a prescribed LGD) concept.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 106. Regardless of whether the authority uses the external, internal, or common data sources or a combination of all three types, its loss estimates based on the historical observation period of at least one source, not less than five years. If the available observation period for any source, include the extended period and this data is important, use a longer period.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 107. Institution need not give equal importance to historic data if it is satisfied that with the most recent data may better predict the level of injury.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 108. the Authority implementing the IRB approach, relevant data may be used for a period of two years. The enormous length of each year shall be increased by one year, to important data covering a five year period.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.. 109 the authority identifies and analyzes the entire the credit risk of the transaction within the estimated parameter changes (seasonal changes).
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 110. Purchased by private individuals or SMEs accounts receivable authority may use external and internal reference data. Authority all the important data sources are used for comparison.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.2.2. Specific requirements regarding the same LGD estimates carried out 111. LGD estimates for each authority business or portfolio category, on the basis of the average realised LGD for each business category, or Briefcase with all the defaults, observed on the data sources (default weighted average – default weighted size).
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 112. the authority shall use LGD estimates that take into account the possible economic downturn if they are more conservative than the long term average.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 113. in so far as it is expected that the rating system will show a continued realised LGD for each category or Briefcase, the authority shall carry out the adjustment in their estimates of risk parameters for each category or portfolio, to limit the effects of the economic downturn on capital.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 114. Body shall take account of the level of dependency between the debtor's risk and collateral or guarantor risk. In cases where the degree of dependency is high, caution.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 115. If the underlying debt and support are denominated in different currencies, setting the LGD, the authority acts cautiously.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 116. If the LGD estimates take into account the existence of collateral, however, these estimates are not based only on the estimated market value of the security.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 117. LGD estimates take into account the impact that can be, if the authority could not express, to get control of its security and realize.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 118. According to the degree to which authority, LGD, taken into account in estimating the collateral, the authority shall establish internal requirements for collateral management, legal certainty and risk management in General comply with the EU Regulation No. 575/2013 title II of part three, Chapter 4 section 3 requirements.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. to the extent and 119. manner in which the authority admits security by setting the exposure value of credit risk management counterparties in accordance with EU Regulation No. 575/2013 title II of part three, Chapter 6, section 5 and 6, any amount that is intended to recover the collateral is taken into account in determining the LGD.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 120. With regard to specific cases where exposures have already occurred defaulted, the authority uses the following elements: the amount of your expected loss maximum best estimate for each exposure in certain economic circumstances and exposure status and its estimate of the increase in the level of damages in connection with the possible additional unexpected losses during the recovery period , that is, the time between the date of default and the risk of winding up the final day of the transaction.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. to the extent not paid 121. delayed payment fees are capitalized on the Authority's profit and loss statement, its value increases the risk of the transaction value and the size of the loss.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.2.2.1. Exposures to corporates, institutions, central Governments and central banks 122. LGD estimates based on at least five years of data, increasing the period by one year each year until it reaches seven years at least one data source.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 123. If the available observation period for any source, include a longer period and this data is important, use a longer period.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.2.2.2. Exposures to individuals or SMEs 124. LGD estimates may be derived from realised losses and appropriate estimates of PD.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 125. the authority may reflect future borrowing in either your corrections, or your grades in the LGD estimates.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the compliance with the criteria on the basis of the internal documents, policies, procedures, reports, etc.. 126 individuals and SMEs to purchased receivables, to quantify the LGD, the authority may use external and internal reference data.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 127. LGD estimates based on data for at least five years.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 128. Authority shall not grant equal importance to historic data if the latest data may better predict the level of injury.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports and others 129. the Authority implementing the IRB approach for credit risk, the capital requirements may reduce the important data observation period of up to two years.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. in this field 130. length of each year shall be increased by one year, to important data covering a five year period.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., the specific requirements of 2.2.3. in relation to the same degrees of correction estimates 131. quantitative parameters for the risk to be associated with the rating categories or portfolios, the Authority estimates the degree of adjustment for each category of transactions or portfolio, based on the average realized degrees of adjustment for each category of transactions or portfolio, using the default weighted average calculated, taking into account any default, observed on the data sources (default weighted average – default weighted size).
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 132. adjustment of the power authority estimates that take into account the possible economic downturn if they are more conservative than the long term average.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.. in so far as the 133 it is expected that the rating system at all times will provide permanent correction of the grades for each class or Briefcase, the authority makes the adjustments to their estimates of risk parameters for each category of transactions or portfolio, to limit the effects of the economic downturn on capital.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. degrees of adjustment the Authority 134. estimates reflects the possibility of the debtor to remove the additional amount until the start of the event of default, and later.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.. power correction 135 estimates constitute the larger precautionary backup if you can reasonably predict that between the default frequency and the rate of adjustment will be a strong positive correlation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 136. Adjustments of estimates, degrees of authority in respect of their specific arrangements and strategies adopted for account monitoring and payments.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 137. the authority shall take into account their ability and willingness to avoid further removal of amounts under circumstances that are close to default, as, for example, breach of contract or other technical default events.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. are appropriate to the institution 138. systems and procedures to monitor possible transactions, outstanding amount in relation to the assigned credit line, as well as each and every category of debtor outstanding sum dynamics.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 139. the authority is able to monitor the daily outstanding balance.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 140. If the Authority's exposure risk weighted value calculation and internally uses different degrees of adjustment to the estimates it determines the documentary and must be substantiated.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.2.3.1. Exposures to corporates, institutions, central Governments and central banks 141. adjustments based on estimated rates of at least five years of data, increasing the period of each year after the introduction of the IRB approach for one year, until it reaches seven years at least one data source.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 142. If the available observation period for any source, include the extended period and this data is important, use a longer period.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.2.3.2. Exposures to individuals and SMEs 143. the authority may reflect future loans used either in their designated correction degrees, or in their LGD estimates.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 144. degrees of Correction estimates based on data for at least five years.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 145. Regardless of the EU Regulation No. 575/2013 article 182 (1) (a) the requirements of the authority), there is no need to grant equal importance to historic data if the latest data may better predict the use of credits.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.., by introducing the authority 146 IRB approach exposure risk weighted, relevant data may be used for a period of two years. The enormous length of gradually each year increased by one year until relevant data refer to a period of five years.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.2.4. requirements for guarantees and credit derivatives for the impact assessment exposures to corporates, institutions, central Governments and central banks, if the institution uses its own LGD estimates, and exposures to individuals and SMEs 2.2.4.1. Exposures to corporates, institutions, central Governments and central banks, if the institution uses its own estimates of LGD and the small pool of exposures exposures 147. the requirements laid down in the EU Regulation No. 575/2013 article 183 – paragraph 3 does not apply to the guarantees provided by institutions, central Governments, central banks and commercial companies that comply with EU Regulation No. 575/2013 article 1 of 201 g) requirements if the authority is authorised to apply a standardized approach to exposures to such bodies in accordance with EU Regulation No. 575/148 and 150 article 13. In this case, apply the requirements laid down in the EU Regulation No. 575/2013 part three, title II, Chapter 4.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 148. Exposures to individuals or, in the case of SMES in EU Regulation No 575/2013 article 183, paragraph 2 and 3 requirements also apply to exposures are categorized, or pools and the PD estimates.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. According to the guarantor 2.2.4.2 and guarantee institution has 149. clearly specified criteria for those types of guarantor, they recognize the risk weighted exposure value calculation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.. Approved guarantees 150 employers subject to the same rules as the EU Regulation No. 575/2013 171.172.173, and set out in the article in relation to the debtor.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 151. Warranty expressed in writing, it is irrevocable from the guarantor. The warranty is in effect until fulfilled commitments (guarantees and in terms of content), and can legally be directed against the guarantor in the jurisdiction in which the guarantor is in active, against which you can draw.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 152. conditional guarantees laid down conditions that the guarantor may not be execution, can be recognised with the approval of the competent authorities. The allocation criteria are taken into account in any risk mitigation effect possible.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.. Adjustment criteria 2.2.4.3 it 153. the body is clear and precise criteria, as it adapted to the categories, pools or LGD estimates.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 154. Private or SMEs and corresponding purchased the accounts receivable in case the authority are clearly defined criteria to customize the process by which exposures are classified into categories or pools, to reflect the impact of guarantees therefore, calculating exposure risk weighted. These criteria conform to EU regulations No. 575/2013, 172 and 173 171. requirements set out in article.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. are reliable Criteria 155. and intuitive. They shall take into account the guarantor's ability and willingness to perform your obligations under the guarantee, the likely timetable, after which guarantor will pay, the degree of correlation between the guarantor's ability to carry out the obligations set out in the guarantee, the debtor's ability to repay the loan and the extent to which residual risk remains associated with the debtor.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. in 2.2.4.4. Credit derivatives 156. EU Regulation No 575/13 183. the requirements laid down in article guarantees are also binding to one debtor-related credit derivatives.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 157. as regards the mismatch between the underlying debt and credit derivative referencing a debt or debts used to determine if a credit event occurs, the EU Regulation No. 575/2013 article 216, paragraph 2.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 158. Exposures to individuals or SMEs and corresponding purchased receivables in case of EU Regulation No 575/2013 183. Article 3 shall apply to the allocation of exposures to grades or pools.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports and others 159. criteria provide for payment of the credit derivative structure and careful evaluation of the impact it has on debt recovery level and schedule. The authority shall also take into account the extent to which other types remain the remaining risks.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.2.5. requirements for purchased receivables 160. quantitative parameters the risk associated with the purchased debt rating categories or portfolios, the authority shall ensure that compliance with EU Regulation No. 575/2013 article 184-6. the conditions laid down in point.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. in all 161. Transaction structure intended conditions ensure authorities actual ownership of and control over all payments relating to the receivables.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 162. If the debtor makes payments directly to the seller of the goods or services, the Authority regularly make sure that payments are made in full and within the time limits laid down in the Treaty.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.. 163 institution has procedures to ensure that ownership of receivables and payments receivable are protected against delays in connection with the bankruptcy or judicial challenge, which could significantly delay the lender's ability to realize or to cede to a third party receivables or retain control over payments.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 164. Authority to monitor both the quality of the purchased receivables and the seller and the debts of the financial position of the operating company.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 165. the authority shall assess the correlation between the quality of the purchased receivables and debts both seller and service company's finances, and has internal policies and procedures that provide for sufficient protection against any unexpected situations, including the determination of the internal rating for each salesperson and the operating company for each debt.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. are clear authority 166. and effective policies and procedures to identify the seller and the company servicing the debts.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 167. Or its agent periodically checks the salespeople and service company to verify the vendor or service company debt reporting accuracy, detect fraud or operational failures and verify the vendor's lending policy and debt serving commercial debt collection policies and procedures. These inspections revealed facts document.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 168. the authority shall assess the qualities inherent in purchased debt portfolios, including excess advances, details about the seller's delayed debts, unsecured debts and unsecured debt deductions, payment terms and conditions and the possible kontrār accounts (contra accounts).
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. are effective authority 169. policy and procedures to monitor the individual in aggregate customer concentration either purchased the accounts receivable portfolio, or between them.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 170. Authority is satisfied that the debt service company receives timely and sufficiently detailed reports on the receivable duration and delay recovery of impairment, in order to ensure compliance with the criteria laid down by the authorities and the advance issuing policies governing transactions with the purchased receivables.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 171. the authority shall ensure effective means with which to monitor and observe the display of the seller's terms of sale and the recoverable value.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 172. Authority has developed systems and procedures for early stage detection of seller's financial condition and purchased receivables quality and proactively prevent problems that arose.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 173. The Authority shall establish clear and effective policies, procedures and information systems to monitor the agreement, and a clear and effective arrangements and procedures for the proposed proceedings and handle the problem purchased receivables.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (describing) compliance criteria based on internal documents, policies, procedures, reports, etc. have been developed for 174. Body clear and effective policies and procedures governing purchased receivables, credit and cash control.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 175. Written internal policies determining all the purchased receivables purchase programs, including the essential elements of advance level, suitable, necessary documentation, concentration limits and how to handle incoming funds.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 176. Internal policies specific items are properly taken into account in all related and relevant factors, including the service of the seller and the debts commercial financial condition, risk concentration, purchased receivables quality trends and vendor clients and internal systems ensure that payments would only against certain security and documentation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 177. the authority shall ensure effective internal process to assess compliance with all internal policies and procedures. The process includes authorities purchased the accounts receivable program in all critical phases of regular checks, verification of the allocation of tasks between the vendor and the debt service for the evaluation of the debtor's company and the staff involved in the assessment and, secondly, between the seller and the debt service for the evaluation of the company and the seller and debt service company personnel involved in the tests on-site, as well as the accounting part of the evaluation, with particular emphasis on staff qualifications, experience, number of employees, and automated systems.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 3. Internal estimate validation 178. the body is a stable system to validate a rating system, the process and all relevant risk parameter estimates, the precision and consistency.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 179. the institutions internal validation process allows it a consistent and sensible to assess the internal rating and risk parameter estimates system.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 180. Periodically compare realised default rates with estimated PDS for each category, and if realized the level of default shall not be included in this category for the range, the authority specifically analyzes the reasons for the deviation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 181. Authority, which uses its own estimated LGD and/or the degree of adjustment carried out analogous analysis, as laid down in the EU Regulation No. 575/2013 article 185 (b)), these estimates. The following comparisons using older data that cover a longer period of time. The authority shall document the methods and data used for such comparisons, and this analysis and documentation shall be updated at least once a year.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 182. the Authority also used quantitative validation techniques and comparison with relevant external data sources. The analysis is based on data pertaining to the portfolio, and are updated on a regular basis and cover the period of observation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 183. internal assessments of the authority for its rating systems based on a potentially longer period of time.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 184. Methods and data used for quantitative approval consistently. Estimate and approval methods and changes to the data (for both the data sources and the period covered).
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 185. the body is stable internal standards for situations in which the PD, LGD, and degrees of total correction loss estimates an EL, deviations from the expected pointer becomes significant enough to call into question the validity of the estimates. These standards take account of business cycles and similar systematic variability in default experience.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 186. If the values remain greater than the estimated value, the Authority reviews the estimates, raising it to reflect default and loss experience.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 4. equity exposures under the internal models approach 4.1. Equity requirement and risk determination 187. Authority takes into account that potential loss estimates are resistant to negative market trends that affect the specific participation of the Authority's long-term risk profile.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 188. Data used for the allocation of revenue reflects the longest random period for which data are available, and they reasonably reflect the institution's specific equity exposures risk profile.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) compliance with the criterion based on internal documents, policies, procedures, reports, etc. 189. Data used is enough to provide conservative, statistically reliable and stable loss estimates, not only based on subjective judgment.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 190. Authorities applied shock provides the potential loss estimates for the relevant long-term care market or business cycle.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 191. the authority combines empirical analysis of available data with adjustments based on a variety of factors to achieve the model results that are sufficiently realistic and conservative.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 192. Creating RPVS models, laying down a possible quarterly loss, the authority may use quarterly data or convert (extrapolated) a shorter period of time data quarterly equivalent using the analytical method applied in the sense that the basis of empirical experience, with well thought out and designed process and analysis. This approach applies all the time a conservative and consistent.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 193. If you have only limited importance (relevant) data, the authority applies adequate safety margins.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. Used models able 194. According to cover all significant risks that contains revenue from equity securities, including equity securities portfolio of the authority of the General and specific risks.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 195. Internal models corresponding to explain the price changes over time, the potential concentration spans both size and its composition changes and is resistant to the negative market trends.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 196. exposures that represent data that uses the estimates are very similar or at least comparable with the equity exposures.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 197. Internal model shall be appropriate to the institution's capital portfolio risk profile and complexity.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 198. If an institution has an important participation in the changes in the value of which is expressed in a non-linear, then the internal models designed to properly include with such instruments the associated risks.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 199. starpniekpozīcij matching of the individual positions, market indices and risk factors are reliable, reasonable and conceptually sound.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., with the authority of 200. empirical analyses of the risk factors, including the suitability of their ability to cover both General and specific risk.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 201. Equity earnings volatility estimates include important (relevant) and available data, information, and techniques. They used independently reviewed internal data or external source data (including with other institutions on joint data).
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. There are tough and 202. comprehensive stress testing programme.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 4.2 Risk management process and controls 203. calculation of equity requirements of internal models for the development and use of the authority shall develop and implement policies, procedures, and control mechanisms to ensure that the model and the modeling process integrity.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.., 204 institutions policies, procedures and control mechanisms include the full integration of the internal model in all the institutions management information systems and institutions included in the equity securities of non-trading portfolio management. Internal models are fully integrated risk management infrastructure, if they are used for the following purposes: equity portfolio performance (including the risk adjusted results) measurement and evaluation, economic capital allocation to equity securities, as well as the total capital and investment management process for evaluation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.., 205 institutions policy procedures and control mechanisms provide for management systems, procedures and controls to create the function to ensure that all internal modelling process periodic and independent reviews, including the review of the results of the validation of models, model verification and model inputs to the review of the results, for example, the calculation of the risk directly.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.. 206 reports (reviews) of the input model and assess the result accuracy, completeness and appropriateness, and focused both on the possible error detection and containment associated with certain disabilities, and to the still unknown model weaknesses identified. Such a review can take independent department or independent external third party.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.., 207 authorities policy procedures and control mechanisms include adequate systems and procedures to monitor the investment limits and equity exposure.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 208. Departments, responsible for the development and application of the model is functionally independent of the departments responsible for individual investment management.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 209. Those responsible for any modeling process has the appropriate qualifications. Management designates modeling needs enough skilled and competent personnel.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 4.3. Validation and documentation of 210. Authority is a stable system to validate their internal models and modelling processes of precision and consistency. All of the internal models and modelling processes essential elements and the approval process is documented.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 211. the authority uses the internal validation processes to consistently and intelligently evaluate their internal models and process the transaction.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 212. the quantitative methods and data validation uses consistent over time. Estimates and validation methods and changes to the data (for both data sources and periods covered).
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 213. Authority regularly compare actual equity securities, revenues, calculated using the realized and unrealized gains and losses, with the modelētaj forecasts. The following comparisons using historical data that cover a longer period of time.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. Authority documented 214. methods and data used in the EU Regulation No. 575/2013 article 188 c) listed for comparison. This analysis and the documentation reviewed and adjusted at least once a year.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 215. Authority shall use other quantitative validation techniques and comparison with relevant external data sources.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 216. analysis based on data concerning a particular portfolio and which are regularly updated and covers the period of observation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 217. the institutions internal assessment in relation to the performance of models based on a potentially longer period of time.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. is 218. Authority of internal standards for action in situations where the actual equity earnings in comparison to the modelētaj forecasts or estimates calls into question the validity of the model itself.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 219. internal standards take account of business cycles and similar systematic variability in equity revenues.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.. all internal models 220 adjustment made to the results of the review of models in the documentary, and they are carried out in accordance with the model review standards.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 221. Internal model and the modeling process is documented, including those involved in modelling and model validation and review process.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 5. Corporate governance and supervision of corporate management 5.1 222. All ratings and estimates significant aspects of the process, approved by the governing body of the authority or its designated Committee and senior management.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, the partially meets, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 223. persons involved in the Approval of general understanding of the institution's rating system, and they understand the details of the accompanying management accounts.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 224. Senior Management shall report to the management structure or the designated Committee for major changes or deviations from established procedures which significantly affect the institution's rating systems.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 225. Top management has a good understanding of the rating system design and operation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 226. Top management constantly ensure that the ratings system to work properly.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 227. Unit that distributes credit risk control function, regularly inform Senior management about the rating process performance, areas in need of improvement, and formerly the open gap.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. on the 228. internal ratings-based institutions credit risk profile analysis is an essential part of the management reports for the Committee and senior management. Management reviews shall include at least the risk profile of each rating category, migration between categories, the estimates of the parameters for each category and realised default rates comparison and, as long as you use the same LGD estimates, and corrections of the degrees of comparison with the estimates and the stress test results.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 229. Reporting frequency depends on the importance and nature of information and the status of the beneficiary.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 5.2. Credit risk credit risk control 230. control unit is independent of the management functions and personnel responsible for the exposure start or restore, and is directly subject to senior management.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.. Credit risk control unit 231 is responsible for rating systems or selection, implementation, monitoring and action.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 232. Credit risk control unit regularly prepares and analyzes reports on the results of the rating system.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc, credit risk control unit 233. responsibilities include: • category and testing and monitoring of the portfolio; • institutions rating system summary reporting and analysis;
• the implementation of procedures to verify whether the category and portfolio definitions are consistently applied to departments and geographic aspects; • any rating process for review and amendment, including a review of the reason for the change; • rating criteria review to assess whether they still allow to predict risk. Changes to the rating process, criteria or individual rating parameters and save the document; • active participation in the rating process models used in the creation or selection, implementation and approval; • rating process models used in surveillance and monitoring;
• rating process models used in the ongoing review and amendment.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 234. the authority, which is used with other institutions share data in accordance with EU Regulation No. 575/2013 according to article 179, you can outsource the following tasks: • preparation of information for the category and the testing and monitoring of the portfolio; • institutions rating system summary management report preparation; • information regarding the preparation of the rating criteria, the review to assess whether they still allow to predict risk; • rating process, criteria or individual rating parameters change documentation; • information regarding the preparation of the rating process models used in continuous review and amendments thereto.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 235. outsource authority in the EU Regulation No 575/2013 article 190, paragraph 3 tasks, ensure that the competent authorities have access to all the information needed to check compliance with the requirements, and that the competent authorities may carry out on-the-spot checks to third parties to the same extent as the institution.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 5.3.236. Internal audit internal audit or another comparable independent auditing unit shall, at least once a year, review the institution's rating systems and its operations, including lending function realization and PD, LGD, and correction of grades, EL estimates.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.. 237 statement contains all applicable requirements analysis.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, the partially meets, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.
  4. the annex to the financial and capital market Commission 29.11.2016. regulatory arrangements no. 198 (name) (date of carrying out the self-reflection) AMP for use in operational risk capital requirements in the determination of compliance with the requirements of the self-assessment Quality standards 1 1. the institutions internal operational risk measurement system is tightly integrated institutions daily operational risk management processes.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 2. The institution has established an independent risk management structure the operational risk.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 3. the authority shall prepare regular reports on operational risk exposures and loss experience, as well as established procedures to implement the appropriate corrective actions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 4. risk management system is well documented. The authority has established a procedure to ensure compliance and policies for action in case of non-compliance.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 5. The institution has established a procedure to ensure compliance and policies for action in case of non-compliance.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 6. Authority for its operational risk management processes and systems of measurement carried out regular checks by the internal or external auditors.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 7. the institutions internal validation process is a valuable and effective.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 8. Institutions and processes data streams associated with the institution's risk measurement system is transparent and accessible.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2. Quantitative criteria developed in 9 institutions and comply with EU Regulation No. 575/2013 article 312, paragraph 2 of the quantitative standards which include standards related to the process of internal data, external data, scenario analysis, business environment and internal control factors that are relevant in the EU Regulation No. 575/2013 article 322, paragraph 6.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. in 2.1. Associated with the process standard 10. Authority calculates its capital requirements, including the expected and foreseeable damage, unless the expected losses are not appropriately provided with its internal operating practices. Measuring operational risk covers events with small probability, which potentially can have a significant impact, reaching the standard of prudence, which is equivalent to 99.9% confidence intervals for one year.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 11. Authority the operational risk measurement system shall include internal internal data, external data, scenario analysis, factor that reflects the business environment and internal control systems as set out in the EU Regulation No. 575/2013 article 322, paragraph 6.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 12. The institution has established a well documented approach to the four elements in proportion to its general use in operational risk measurement system.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 13. risk measurement system includes the key risk pathogens that affect the estimated loss curve type.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 14. the authority may recognise the operational risk loss correlation in relation to individual operational risk estimates only if its system for measuring correlations is valuable, are implemented consistently and take into account the uncertainty inherent in such correlation estimates, particularly in periods of tension.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 15. Authority validate its correlation assumptions using appropriate quantitative and qualitative methods.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 16. risk measurement system is internally consistent, and the authority has avoided multiple such qualitative assessment mitigation techniques or recognition that is already recognised in other EU Regulation No 575/2013.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.2 the internal data With associated standards 17. the Authority made its internal operational risk measurement based on minimum historical observation period of five years.
Compliance evaluation rating justification reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 18. the body first starting to use the AMP, it is permissible to use the three-year historical observation period.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 19. Authority capable of their own internal historical data on losses attributed to the scope of EU Regulation No 575/2013 article 317, and the types of events set out in EU Regulation No 575/2013 article 324, and upon request, to submit these data to the competent authorities. In exceptional circumstances, the authority may be subject to loss events that affect the entire body, the additional scope of "Corporate items".
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 20. Authority is documented objective criteria for the extension of the damage to specific areas of activity and event types. Authority of its operational risk losses that are related to credit risk and the institution historically has included internal credit risk databases, registers the operational risk databases and sets them apart. Such losses are not included in the operational risk capital charge calculation provided that the institution's capital requirement calculation needs should continue to be considered as credit risk.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 21. Authority to include the data in its internal operational risk losses related to market risk, operational risk capital requirements.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 22. The institution's internal loss data is comprehensive, to include all relevant activities and exposures from all appropriate sub-systems and geographic locations.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 23. the authority able to justify that any excluded activities or exposures-separately and together-would not significantly affect the overall operational risk estimates.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 24. The Authority shall determine the appropriate minimum loss threshold, from which collects data on the internal losses.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 25. for more information about the gross loss amounts, the authority collects information on the loss event date, gross loss recovery and descriptive information about the cause of the event or loss causes.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 26. The institution has specific criteria for the classification of data loss resulting from the loss of an event in a centralized function or activity, which cover more than one area of activity, as well as a number of related events over time.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 27. The institution has documented procedures for its historical importance of data loss is an independent evaluation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 28. Institution has documented procedures also situations where possible, scaling of the decision or other adjustments, in so far as they may be used, as well as taking into account who is authorised to take such decisions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. to external data 2.3 related compliance standards 29. the authority of the operational risk measurement system shall use appropriate external data, particularly if there is reason to believe that the body is exposed to a rare, but potentially significant losses.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 30. The institution has a systematic process to identify situations that use external data and methodologies for the measurement of inclusion of data in the system.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 31. the authority shall regularly review the use of external data and practice, as well as document and apply a periodic independent checking.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.4. Scenario analysis 32. the authority uses the expert opinion of the scenario analysis in connection with external data to assess its exposure to events with significant impacts.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 33. Authority in the course of time the following institutions assessments validated and re-evaluate, by comparison with the actual loss experience, to verify their validity.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.5 with the business environment and internal control factors related standards body in its 34. risk assessment methodology shall include the business environment and internal control key factors that can change its operational risk profile.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 35. Authority of each choice is justified by the fact that it is a significant cause of the risk, based on experience and taking into account expert judgement in their respective business areas.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 36. Institution able to base risk estimates relative to the sensitivity factor changes and factor different relative meaning.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 37. In addition to the fact that account is taken of risk changes caused by the risk control improvement authority risk measurement system shall include a potential increase in risk caused by greater complexity or greater size of the transactions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 38. Authority of their risk measurement system shall be documented and carried out its independent test institutions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 39. validated and periodically reassess the process and its results, compared to internal data on actual loss experience and relevant external data.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.
    5. the annex to the financial and capital market Commission 29.11.2016. regulatory arrangements no. 198 (name) (date of carrying out the self-reflection) IMMA use counterparty credit risk exposures the calculation of the value of self-assessment of compliance requirements 1. Management-CRR policies, processes and systems 1. Authority has established and maintains CRR management system consisting of policies, processes and systems that is conceptually sound, are implemented fairly and is documented. Documentation is included in the explanation of thumb methods, which use the CCR.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2. CCR CCR management system shall ensure identification, measurement, management, approval and inclusion in the internal reports.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 3. CCR management system contains procedures to ensure the CCR management system includes policies, processes and systems.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 4. authorities CCR management system defined in regulation EU no 575/2013 article 286 (1), having regard to market, liquidity, legal and operational risk related to CCR.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 5. CCR management system shall ensure that the Authority did not start transactions with counterparties before having assessed its credit standing, and take due account of settlement and pirmsnorēķin credit risk.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 6. risks in managing CCR Authority manages the comprehensive counterparty level (the CRR agregēj exposures with other credit exposures) and establishment level.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 7. Authorities CCR management system shall take into account the liquidity risk of such requests: (a) the incoming security) can reserve requests associated with variable safety stock or other security provisions, such as the original or independent safety margins, adverse exchange market turmoil; (b)) incoming requests to return the collateral that counterparties, provided the surplus; (c)) the requests arising from the external evaluation of the Authority's kredītkvalitāt reduction. The authority shall ensure that the collateral nature and reuse period corresponds to its liquidity requirements and does not endanger its ability to pass the time or to return the collateral.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 8. Management structure and senior management actively involved in CCR management and ensure that appropriate resources are allocated.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 9. Authority senior management is kept informed about the limitations and assumptions of the model, as well as the impact these limitations and assumptions may have on the formal validity of the results of the process.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 10. Authority top management shall also take account of uncertainty in the market environment and operational issues, as well as their presentation model.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 11. Daily reports on the institution's CCR exposures in accordance with EU Regulation No. 575/2013 287. paragraph 2 of article b) look like managers who have the power and authority to require both positions created by the loan officers or traders, and the institution's overall CCR exposure values.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 12. Authorities of the CCR management system, established in accordance with EU Regulation No. 575/13, art. 286, coherent with the internal credit and trading limits.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 13. Credit and trading limits are consistently over time associated with the risk measurement model, and this limit compliance model well understands the credit officers, traders and senior management. The institution has a formal process to the appropriate level of management report on risk limit violations.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 14. CCR measurement process includes daily and spent the day credit line measurement.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 15. Authority measures the current exposure value, taking into account security and ignoring security.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 16 portfolio and counterparty level authority calculates and monitors the maximum exposure value and possible future exposure value of the confidence interval chosen by the authority.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 17. Authority overseeing large or concentrated positions, including an inter-related group of counterparty exposure, the concentration by sector and to the market.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 18. The Authority has developed and maintains a constant and careful tension testing program.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 19. Stress test results regularly and at least once every quarter looking senior management, and it reflects the CCR management policies and limits adopted by the governing body and senior management.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 20. If the stress test reveals vulnerability to a particular set of circumstances, the authority shall without delay take measures to manage these risks.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 2. The organisational structure of the CCR management 2.1. Risk control unit 21. The institution has established a risk control unit that is responsible for the institution's CCR management system design and implementation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 22. Risk control unit prepares daily reports and analyzes the risk measurement model results. This analysis includes an assessment of the relationship between the CCR exposure value measure and trading limits.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 23. Risk control unit controls the input level of integrity, prepare and analyze reports on risk measurement model results, including the relationship between the exposure and the value of the institution's credit and trading limits.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 24. Risk control unit is independent of the departments responsible for the exposure of the conclusion, renewal or trade, and is not subject to unwanted effects.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 25. Risk Control Department have sufficient staff and report directly to senior management of the authority.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 26. Risk Control Unit has been closely involved in the day-to-day management of the credit risk in the process.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 27. Risk control unit performance is a credit institution, and the overall risk profile of the planning, monitoring and control is an integral part of the process.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.2. Collateral management unit 28. Institution established a security management Department, which enforces the following tasks and functions: a) calculates and security reserve requests, addressing security disputes at the request of the reserves and carefully every day to report on the level of independent amount, initial security reserves and changing safety margin; (b) the data that the control) used to perform the security reserve requests, integrity and ensure that they are consistent and coordinated with the relevant regular data sources; c) tracks the re-entry of the security volume and any amendments relating to the rights of the authority on, or in connection with the provision, it shall be submitted; d) reported level of management concerned about reuse of assets securities and repeated the following terms of use, including instruments, kredītkvalitāt and deadlines; e) tracks the concentrations of individual security asset classes taken by the authority; f) on a regular basis, but not less frequently than quarterly reports to top management for collateral management, including providing information about the received and filed in a form of insurance, ageing population and security reserve request dispute reasons. This internal reporting also reflects the changes in these indicators.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 29. senior management of the authority granted to the Department of management of collateral sufficient resources required in accordance with EU Regulation No. 575/287 article 13 paragraph 1 (b)), to ensure that the system reaches the proper level of operational results, which are valued at the request of the security provisions of the authority of the timeliness and accuracy of responses to its authority and counterparts from the security reserve requests timeliness.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 30. Authority top management shall ensure that the Department has sufficient number of employees to promptly process the requests and deal with disputes also severe market crises and to enable the authority to limit its number of disputes arising out of commercial scale.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 3. CCR management system test 31. Body shall periodically carry out independent of its CCR management system, through its internal audit process.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 32. CCR management system includes inspection and control and management of the security unit, as defined in the operations of the EU Regulation n ° 575/2013 in article 287.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 33. CCR management system test refers to the EU Regulation No. 575/2013 286 in article CCR management system and process documentation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 34. CCR management system test also includes the EU Regulation No. 575/2013 article 287, point (a)) in the CCR control structure organization and EU Regulation No 575/287 article 13 paragraph 1 (b)) in the security management structure of the organization.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 35. CCR management system test also includes integration of the measured daily CCR risk management.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 36. CCR management system testing include risk models and the valuation of the cenošan system used for trading and back-office personnel, the approval process.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 37. CCR management system test also includes all significant changes to the CCR measurement process validation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 38. CCR management system shall also apply to the scope of risk measuring CCR model.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 39. CCR management system test also includes a management information system integrity assessment.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 40. CCR management system test also includes CCR data accuracy and completeness check.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 41. CCR management system test also includes security and mutual claims, including legal contract term accurate reproduction of exposure values for measurement verification.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 42. CCR management system test also includes a model for the operation of the data sources used, the consistency, timeliness and reliability, including the approval of such a data source, the test for independence.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 43. CCR management system test also includes the assumption of volatility and correlation of accuracy and suitability check.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 44. CCR management system test also includes assessment and risk transformation calculations accuracy check.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the corresponding point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 45. CCR management system test also includes the verification of the accuracy of the model, using the common EU Regulation No. 575/2013 293. paragraph 1 (b) of article)-e) the retroactive defined in check.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 46. CCR management system test also includes the CCR control unit and security management business unit compliance with relevant regulatory requirements.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. Using test 4.47. the authority shall ensure that the internal model help create exposure distribution effective EP (expected positive exposure value) calculation would be closely associated with authorities daily CCR management process and the results of the model to take account of the credit approval, CCR management, internal capital allocation and corporate governance.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 48. the authority demonstrates that the exposure allocation, which determines the calculation of the EP, it uses a model that complies with EU regulations No. 575/2013 title II of part three, Chapter 6, section 6 the requirements to use the IMM for at least one year before it in accordance with EU Regulation No. 575/2013 article 283 planned to start using the exposure value calculation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 49. Model used by CCR exposure distribution, is part of the CCR management system set out in EU Regulation No 575/2013 article 286. This system includes the use of the credit line measurement by combining CCR exposures with other credit transactions and internal capital allocation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 50. in addition to the PE Office is measured and managed the current exposure value. If necessary, the body measures the current exposure value, taking into account security and ignoring security.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 51. the Authority also uses other CCR measures, such as the maximum risk value of transactions on the basis of the distribution of exposures taken with the same model used for calculation of the EP.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 52. the body is a system that can calculate the EP every day, if necessary, unless it can be shown that the determination of the size of the CCR are sufficient for less.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.-53. Authority of the EPA estimates used in the forecast period profile that adequately reflects the future cash flow and the contract period, and estimates, taking into account the significance of the exposure and composition.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 54. Exposure value measure, monitor and control all the mutual request including set the duration of the contract (not only the one-year period).
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 55. the authority shall establish procedures for counterparties in risk identification and control in cases where exposure exceeds the one-year period. Estimated exposures increase in value included authorities internal capital model.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 5. Stress testing 56. Institution of comprehensive stress-testing programme for CCR, including equity requirement related to CCR.

Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 57. Stress testing program identifies those possible events or future changes in economic conditions that could adversely affect the institution's credit risk business value and evaluate the Authority's ability to overcome such changes.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 58. Stress testing programme tension measured compared with risk limits, and it is considered part of the internal capital adequacy assessment process, including the assessment of the concentration risk.
Assessment of conformity assessment is based on ms's reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 59. Stress testing programme includes comprehensive individual transactions and aggregated exposures with all types of credit risk of the counterparty specific counterparty level long enough period of time to perform regular stress testing.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 60. Authority at least once a month to ensure the exposure values stress test in relation to the main market risk factors, such as interest rates, currency rates, equity securities, the credit margins and prices of goods, as regards all institutions counterparts, to identify and to allow the authority, where appropriate, reduce excessive concentrations of specific direction risks.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 61. value of exposures, including individual test stress-factor, multifaktor and substantial risk of bezvirzien, and the exposure value and creditworthiness of common stress test is carried out in a particular counterparty, the counterparty group and aggregated at the level of the institutions the CCR.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 62. the authority at least once every quarter applied multifaktor tension test scenarios and assess the relevant risks, including the bezvirzien yield curve exposure value and basis risk. Multifaktor tension tests cover at least the following scenarios that occur to the following: (a)) joined complex economic or market events; (b) significantly decreased) is a broad market liquidity; c) large financial intermediary eliminates positions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 63. Underlying risk factor shock severity is a stress test. Assessing the solvency situation of tension, the underlying risk factors in turmoil is powerful enough to contain historical extreme market conditions and extreme, but perhaps in tough market conditions. Stress tests assess the impact of such shocks on equity, capital requirements, and profit. Daily monitoring of portfolios, hedging and management needs testing programme takes into account the scenarios with easier and more likely.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 64. Stress test program where applicable reverse includes a stress test conditions to determine the extreme but plausible scenarios that could cause significant adverse results. Reverse the tension test takes into account the significant portfolio impact. nonlinearity
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. For 65. under the programme, the stress test results on a regular basis, at least quarterly, report to the senior management. Reports and analysis of results include greater impact the counterparty level across the portfolio, substantial concentrations of portfolio segments (in one sector or region) and the related portfolio and counterparty-specific trends.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 66. Senior management take a leading role in the tension test of inclusion in the risk management framework and risk culture and ensure that the results would be meaningful and the use of the CCR management. Tension test results significant exposures evaluated in comparison with guidelines that indicate the authorities willingness to take risks, and sent senior management discussions and action in the case have identified excessive or concentrated risks.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 6. Correlation risk 67. Authority properly assess exposures that involve specific or general correlation risk, which is defined in the EU Regulation No. 575/2013 article 291, paragraph 1.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 68. To identify the overall correlation risk, the authority shall develop stress tests and scenario analyses of risk factors that are associated with adverse counterparty creditworthiness, impact test. The following test verifies the possibility that heavy turbulence occurs at a time when the relationship between the risk factors have changed. The Authority monitors the overall correlation risk to individual products, regions, sectors or other categories that are relevant to the transaction.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 69. the Authority maintains procedures to detect, monitor and control the specific correlation risks for each legal person, starting with the opening of the transaction and continuing throughout the life of the transaction.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 70. The institution shall calculate the capital requirements for CCR related to transactions, if it is determined the specific correlation risk and if there is a legal relationship between the counterparty and the OTC derivative instrument underlying instrument or the EU Regulation No. 575/2013 273. paragraph 2 (b), (c) and (d)))) the transactions referred to in the underlying instrument issuer in accordance with the following principles: (a)) where there is a specific instrument, the correlation risk, does not include the same mutual claims included together, where other transactions with counterparties, and each individual perceived as mutual claims are included; (b)) in each of those individual claims, including mutual sets with one debtor-related credit swaps exposure value is equal to the full prospective losses of underlying instrument remaining fair value, based on the assumption that the underlying issuer is liquidated; (c)) the authority that the EU Regulation No. 575/2013 part three, title II, Chapter 3, the method that is described in the following LGD swaps is 100%; (d)) the authority that the EU Regulation No. 575/2013 title II of part three of the method set out in Chapter 2, the degree of risk is the same as the transaction unsecured; e) all other transactions, which apply to one debtor in any of those individual claims between the sets, the exposure value calculation must conform to the assumption about the underlying relationship of the risk of a sudden where the issuer is legally bound to the counterparty. Transactions, which apply to the name of the basket or index, sudden default risk in respect of such underlying obligations which the issuer is legally bound to the counterparty, shall apply, where relevant; (f)) to the extent that you use the existing market risk in calculating capital requirements for incremental default and migration risks, as set out in the EU Regulation No. 575/2013 title IV of part three, Chapter 5, section 4, which is already included in the LGD assumption used in the formula is 100% LGD.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. Authority provides 71. top management and management structure according to the regular reports to the Committee and on the specific and the general correlation risk and measures taken to manage these risks.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 7. Modeling process integrity 72. Model reflects the transaction terms and specifications in a timely manner, completely and carefully. These conditions include at least a notional contract amount, maturity, reference assets, security procedures for the determination of the reserve and the mutual claims including the agenda.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. conditions and specifications 73. stored in database, which carries out formal and periodic audit.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 74. the procedure for the mutual recognition of the claims including contract stipulates that lawyers should be verified or cross the clearing under these contracts are legally enforceable.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 75. EU Regulation No 575/2013 292. (d) of paragraph 1 of article) requested inspection of the EU Regulation No. 575/13, art. 292 c) referred to in subparagraph database enter the independent entity.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 76. transaction terms and specifications data into the model EP is subject to internal audit, there is a procedure for reconciliation between the formal model and the source data systems to constantly verify the transaction terms and specifications of the EP in the determination is reflected correctly, or at least caution.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 77. Model uses the current market data to calculate the current value of the exposures.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 78. the authority can calibrate their EP in the model using either the historical market data, or izsecināmo from the market data to determine the underlying stochastic process parameters, such as changes in volatility and correlation. If the institution uses historical data, it uses the data at least three years. The data are used at least quarterly or more frequently, if it is necessary to reflect market conditions. To calculate the effective PE using tension calibration, calibrate the effective authority of the EPA, using either three years of data that is included in the credit risk of the counterparty of the swap credit risk difference experience stress period, or izsecināmo from the market data for such a period of tension. For this purpose, the authority shall use the EU Regulation No. 575/2013 article 292 3., 4. and 5. the conditions laid down in paragraph 1.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. may 79. at least once every quarter to prove that a period of tension, which is used for calculations, coincides with the credit swaps or other credits (e.g., loan or corporate bonds) increased credit risk margins for representative selection period with its counterparties to trade credit differences. In situations where an authority is not the proper data about the credit risk of the counterparty the difference, it attributed this to a specific counterparty data for credit risk, based on the margin of the region, internal rating and type of activity.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 80. the authority of the EPA model to all business partners use either historical, or risk‐adjusted data that includes data on credit conditions in the periods of tension, and uses this data consistent with the method used by the EPA for calibration of models with current data.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. in order to assess 81. how effective is the tension of the calibration, the EP body uses several benchmark portfolios, which are vulnerable to the major risk factors, of which the institution is exposed. This benchmark portfolio exposure value calculated using: (a) the tension testing methodology), which is based on current market values and the model parameters are calibrated in a tight market conditions; b) exposures resulting from tension in the period, but by applying the method set out in this section (the tension period ending market value, volatility and correlation of the three year period of tension).
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 82. the authority shall carry out the model validation process, which is clearly formulated policies and procedures of the authority. The validation process: (a) specify the types of testing), which is necessary in order to ensure the integrity of the model and to identify the circumstances in which the model underlying assumptions are inappropriate and therefore can lead to too low PE grade; (b) comprehensiveness of the model).
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 83. the authority shall monitor the significant risks, and it is provided for procedures to when these risks become significant, correct your effective EPA estimates. Pursuant to this paragraph, the authority shall: (a)) identifies and manages its exposures in connection with specific correlation risk resulting, as indicated in the EU Regulation No. 575/2013 article 291 paragraph 1 (b)), and exposures in the context of the general correlation risk resulting, as indicated in the EU Regulation No. 575/2013 article 291 paragraph 1 (a)); b) exposures with increasing risk profile after one year of regular compared the exposures estimated for the period of one year with the same degree of exposure exposure duration; c) exposures with residual maturity of up to one year, regularly compares the value of the replacement (the current exposure value) realized the exposure profile and stored data, which will make it possible to make such a comparison.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the compliance with the criteria on the basis of the internal documents, policies, procedures, reports, etc. 84. The institution has developed internal procedures to include in each prior to the transaction, including the transaction, together with the cover of checking legally enforceable contractual agreement for the mutual claims including set as defined in EU regulations No. 575/2013 title II of part three, Chapter 6, section 7, for compliance with the requirements.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 85. Body that uses security, to reduce the risk of your CCR is internal procedures before the security impact of recognition in its calculations, check if the Security meets EU regulations No. 575/2013 title II of part three, Chapter 4 technical certainty laid down standards.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 8. requirements risk management system 86. Risk management system complies with EU regulations No. 575/2013 under Title IV of part three, Chapter 5 the quality requirements laid down in.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 87. Authority carries out regular retroactive checks program, comparing the measures of risk created by model, with the risk measures and implemented a hypothetical changes based on static positions, with the measures implemented.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. Authority 88. CCR exposure value model and its measure of the risks the initial validation and periodic review of ongoing activities. Validation and review must be independent of the model development.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 89. Management structure and top management is involved in the risk-control process and to ensure that credit and counterparty credit risk control is dedicated enough resources. In the context of their independent risk control unit, created in accordance with EU Regulation No. 575/2013 article 287 (1) (a)), every day prepare reports look like managers who have sufficient authority to require both the individual trader positions, both in the institution's overall risk level of the transaction.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 90. Internal risk measurement model of the exposures included in the Authority's day-to-day risk management process.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 91. Risk measurement systems used in connection with internal marketing and exposure limits. In this context, exposure limits are associated with the risk measurement model in a way that is consistent over time and are well understood by merchants, credit officers and senior management.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 92. the authority shall ensure that its risk management system is well documented – it maintains the documented internal policies, controls and procedures in respect of the risk measurement system and take measures to ensure that this policy is complied with.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 93. Authority independent of the risk measurement system check regularly the institution's own internal audit process. This inspection shall include both the activities of the business trading units and of the independent risk control unit operation. The overall risk management process and check on a regular basis (at least once a year), and in particular it discusses at least all EU regulations No. 575/13 article 288 questions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 94. Counterparty credit risk model validation, including a permanent Retrospective test, periodically checks a level of management with sufficient powers to take a decision on the action to be taken to prevent the defects of the model.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 95. the authority its CCR exposures for the value model of the original and permanent validation and risk measure that created the designs, calculations were documented in detail, so that third parties can create appropriate analysis and measures of risk. This documentation shows how often you perform retrospective analysis checks and other permanent validation as validation is performed for data streams and pools and some analysis is used.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 96. Body defines the criteria that must be used in assessing its CCR exposures, value models and models used for calculating the value of exposures, and has written procedures that set out the process, as are identified and corrected the unacceptable results.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 97. Body defines how to create representative counterparty portfolios CCR exposure value model and risk degree determination.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 98. CCR exposure values and risk models, which produce the predicted distribution, validation, takes into account more than one forecast distribution statistical indicator.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, does not meet, in part with, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 9. Validation requirements 99. the authority shall carry out retrospective testing, using historical data on market risk factor changes before receiving the permission of the competent authority in accordance with EU Regulation No. 575/2013 article 283 (1). This retrospective examination takes into account a certain number of forecasting period at least one year, a range of different initialization date and includes a wide range of market conditions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 100. the authority, which uses the EU Regulation No. 575/2013 285. paragraph 1 (b) of article) approach, set out in point regularly validate your model to verify current marketed exposure value corresponds to forecasts in all margin periods within one year. If some of the claims, including mutual trade deadline is set for less than one year and mutual claims, including the set without those transactions have a higher risk factor sensitivity, validation, it should be taken into account.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 101. the authority shall carry out retrospective testing CCR exposure value model and model the essential measures of risk, and market risk factor estimates. Secured transactions in the forecast period taken into account include those which reflect transactions in or provide marginal trade risk maržinālo applied in the period.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, 102, etc. If the validation of the model suggests that an effective PE is underestimated, the authority acts to prevent the model accuracy.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. cenošan 103. Authority tests the models used to calculate CCR exposure values in a specific scenario, which provides market risk future shocks, as part of the original models and permanent validation process. Cenošan patterns sold options take into account the options sold nonlinearity value, taking into account market risk factors.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 104. CCR exposure values model represents the transaction information to aggregate exposures including mutual claims set level. Body checks, or business model has been applied to the claims, including mutual set.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 105. CCR exposure value model also includes the transaction information to hold emergency stocks discovery. It takes into account the current value of the security and safety of reserve reserve value, on which the future will agree the counterparts. This model takes into account the unilateral or bilateral agreement on the margin of safety, a safety reserve request frequency margin period of risk, the acceptable minimum threshold to the authority in relation to exposures that do not have a safety reserve, and the minimum transfer amount. Such a model of either the market value estimates of changes in the value of the collateral submitted, or apply EU regulations No. 575/2013 Chapter 4 of title II provisions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 106. Model validation process includes static, historical representative counterparty portfolios of retroactive testing. Authority at regular time intervals carry out such retroactive checks for several representative (real or hypothetical) business portfolio. Representative portfolio are chosen based on their sensitivity to important risk factors and a combination of risk factors for which the institution is exposed.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 107. the authority shall carry out retrospective testing, the purpose of which is to check the CCR exposure the main assumptions of the model and the essential risk measures, including model relations between the same risk factor different deadlines and model relationships between risk factors.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 108. CCR exposure value models and the results of measures of risks subject to retroactive inspection practice. Retroactive checks program to identify weak results for the model risk measured EP.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 109. Authority validates your CCR exposure value models and all risk measures within a period that is appropriate for their business, for which the exposure value calculated using IMM in accordance with EU Regulation No. 575/2013 article 283.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 110. the authority of the standing of the model validation process regularly checks the cenošan models, which are used to calculate counterparty exposure value, compared to the corresponding independent benchmarks.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.. 111 institutions CCR exposure value model and relevant measure of the risk of permanent validation is included in the most recent assessment of the adequacy of the results.

Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 112. how frequently you update the CCR exposure values in the model parameters, the authority shall evaluate the initial and ongoing validation process.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the compliance with the criteria on the basis of the internal documents, policies, procedures, reports, etc. 113. CCR exposure value model of the original and permanent validation time assessing whether counterpart level and mutual claims, including the set exposure value calculation is or is not appropriate.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.., 114 authority prior to the approval of the competent authorities, the Mayor, who is more conservative than the value that was used to calculate the value of regulatory exposure for each counterparty, can be used to replace Alpha multiplied by the effective PE. The relative conservatism of the level evaluation, receiving the approval of the competent authorities, and shall carry out regular monitoring of the EP model tests. The authority shall at regular intervals carry out validation of conservatism. Model of the permanent assessment results applies to all counterparties, which models are used.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.
  6. the annex to the financial and capital market Commission 29.11.2016. regulatory arrangements no. 198 (name of Office) (self assessment date) use of market risk IMTR equity requirements in determining compliance self-assessment requirements 1. Risk value (RPVS) and risk values for calculating tension 1. RPVS calculation is made every day.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2. Calculating the RPVS, percentil of 99. unilateral confidence interval.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 3. the calculated position of the RPVS holding period is equivalent to 10 days.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 4. If the institution uses the numerical values that RPVS calculated shorter holding period over 10 days, increasing the scale of up to 10 days, apply the appropriate methodology that are periodically revised.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 5. There are at least one year effective historical observation period, except where a shorter observation period is justified by a significant increase in price fluctuations.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 6. all data set is updated not less frequently than once a month.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 7.  Authority at least once a week to calculate his current portfolio RPVS tension in accordance with EU Regulation No. 575/2013 article 365 part 1 requirements, the value at risk model input data with historical data for a continuous period of 12 months, briefcase in which the institutions subjected to considerable financial stress. The authority shall, at least once a year, review the historical data about the results of choice and inform the competent authorities.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 8. RPVS internal model is made retroactive regulatory tests to count the number of excess and the mc and ms factor calculation in accordance with EU Regulation No. 575/2013 requirements of article 366, t.sk. the institution shall calculate the number of excess every day forward testing, comparing the hypothetical portfolios and changes in the actual value. Excess is a one-day change in the portfolio's value that exceeds the risk of one day in the numerical value of the values which the authorities predicted model. To determine the second summand, the excess number of evaluated at least once every quarter, and is equal to the largest number of exceedances of the portfolio in a hypothetical and actual changes. Hypothetical changes in the portfolio's value in retroactive test compares the value of the portfolio at the end of the day and, assuming that the position does not change, its value at the end of the next day. The actual value of the portfolio change retroactive test compares the value of the portfolio at the end of the day, and its real value at the end of the next day, not including fees, commissions and net interest income.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2. requirements for risk measurement 9. The Authority may use the IMTR empirical correlations within risk categories and across risk only if the authorities approach the correlations is sound and implemented with integrity.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.1 the requirements for the measurement of internal risk models used for position risk, foreign exchange risk, commodities risk capital requirement calculation of internal models and correlation trading book 10. Internal model to accurately include significant share of risk positions according to the EU Regulation No. 575/2013 article 363.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 11. Internal model accurately covers all relevant price risks.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 12. Model covering a sufficient number of risk factors, depending on the level of the institution in the respective markets. 
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 13. If risk factors are included in the Authority's pricing model, but is not included in the risk-measurement model, the inclusion of such an institution must be able to convincingly justify the competent authority.
Conformity assessment rating rationale reference to authorities internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 14. Risk measurement model includes options and other products, as well as the nonlinearity of correlation risk and basis risk. 
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 15. If using a risk estimated value, its good to reflect the actual position changes.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2.2. Requirements regarding the measurement of internal risk models used for position risk, foreign currency risk, or the risk of the goods to the same capital requirement calculation 16. Authority model includes a set of risk factors corresponding to the interest rates in each currency in which the institution's balance sheet or off-balance-sheet items affecting the interest rate.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 17. Authority yield curve model by using one of the generally accepted approaches.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 18. Significant exposures to interest rate risk in the major currencies and markets, the yield curve is divided into at least six maturity segments, to capture the difference in volatility of rates across the yield curve.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 19. Internal model also includes incomplete fluctuations correlated between different yield curves.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 20. the authority model includes risk factors corresponding to gold and to the individual foreign currencies in which the institution's positions are denominated.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 21. Regarding collective investment undertakings (cius) the authority shall take into account the actual CI foreign currency positions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 22. the authority may rely on third party reporting of the foreign exchange positions in cius, where it is appropriate to ensure the accuracy of the report.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 23. If the authority is not aware of the foreign exchange positions of the CIP, this position evolve and it applies to EU Regulation No 575/2013 Article 353, paragraph 3 of the procedure.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 24. Authority model uses a separate risk factor at least for each of the equity markets in which the institution holds significant positions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 25. the authority of the internal model includes a separate risk factor at least for each commodity in which the institution holds significant positions. Internal model also includes a risk associated with imperfect correlation between similar but not identical goods, and exposure to future price changes that occurred during the period as a result of the mismatch. It shall also take into account the specific characteristics of the market, in particular delivery dates and options traders close positions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 26. Institution's internal model, on the basis of realistic market scenarios, carefully assess the risk arising from less liquid positions and positions with limited price transparency. In addition, the internal model meets the minimum data standards. Estimated values are sufficiently conservative, and they only used where available data are not adequate or does not reflect the true position or portfolio volatility.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 3. quality requirements 27. IMTR is conceptually sound and implemented with integrity.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 28. Internal models used to calculate the capital requirements for position risk, foreign exchange risk, or the risk of the goods is included directly in the day-to-day risk management process and serve as the basis for reporting risk exposures the Authority's senior management.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 29. Institution established a risk control unit that is independent from the trading units and reports directly to the senior management.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 30. Risk control unit, set up in accordance with EU Regulation No. 575/2013 article 368, responsible authorities and the introduction of the IMTR prepare and analyse daily reports on the internal model used to calculate the capital requirements for position risk, foreign exchange risk, or the risk of the goods, the results and the relevant measures to be implemented in connection with trading limits.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point      
* Meet, match, meet, partially not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 31. Risk control unit, set up in accordance with EU Regulation No. 575/2013 article 368, in accordance with its responsibility for the overall risk management system performs initial and ongoing validation of all IMTR.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 32. Management structure and senior management actively involved in the risk-control process and the daily reports prepared by the risk control unit are reviewed by a level of management which powers are sufficient to reduce both individual dealers set up positions, as well as in the institution's overall risk exposure.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 33. The institution has sufficient numbers of staff skilled in the use of sophisticated internal models, including the IMTR, trade, risk-control, audit and accounting transactions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 34. the authority has put in place procedures to monitor and ensure compliance with the documented internal policies and control procedures with regard to its internal models, including the IMTR, overall performance.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 35. have checked history IMTR risk measurement with sufficient accuracy.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 36. Authority often enforces a strict stress test program, including reverse stress tests, and such a program include any IMTR.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 37. Authorities of the results of these tests are reviewed by senior management and reflected in the policies and limits it sets.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 38. Stress testing programme, in particular in market liquidity model of tight market conditions, concentration risk, unilateral and sudden market event of default risk, non-linear products price changes positions with substantial internal values, positions with the price gaps and other risks, which include internal model.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 39. Tension test applied in turmoil reflects the nature of the portfolio and the period of time that would be necessary to limit or manage risks in severe market conditions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 40. Authority as part of its regular internal auditing process, an independent in their internal models.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 41. EU Regulation No 575/2013 article 368 paragraph 1 h) check referred to cover both of the business trading units and of the independent risk control unit.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 42. At least once a year the authority shall carry out its overall risk management process.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 43. overall risk management process check includes risk management system and process documentation and risk control departments test organization.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 44. overall risk management process risk check includes the integration of measured daily risk management and the management information system integrity.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 45. overall risk management process check includes authorities for approval to use cenošan models of risk and risk assessment system used for trading and accounting personnel.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 46. overall risk management process check includes the range of risks covered by the risk measurement model, and evaluation, as is validated all the major changes in the risk-measurement process.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 47. overall risk management process check includes the evaluation of the accuracy and completeness of position data is as accurate and consistent is the volatility and correlation assumptions, and the accuracy of valuation and risk sensitivity calculations.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 48. overall risk management process also includes the verification checks process the institution employs to evaluate the internal model consistency, timeliness and reliability of data sources used, as well as the independence of such data sources.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 49. overall risk management process includes verification the verification process the institution uses to evaluate back-testing that is conducted to assess the model's accuracy.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 50. Authority all use the IMTR latest techniques and practices.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, and more. 4.51. Internal validation authority is in the process to ensure that they are appropriately validated IMTR qualified persons who are independent of the development process to ensure that they are conceptually sound and adequately cover all relevant risks.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 52. Internal validation is carried out after the internal model is first developed, and once it has made any significant changes. Validation shall also be carried out periodically, but especially if there have been any significant structural change in the market or changes in the composition of the portfolio, with an internal model may not fully cover.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 53. Development of evaluation techniques and best practices, the formation of a body apply these updates its internal model.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 54. the authority shall carry out retrospective testing for portfolio of actual and hipotētiskaj changes.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 55. IMTR assessment is not confined to the retroactive checks, but also includes the following: a) the checks to ensure that the internal models used assumptions are appropriate and do not assess the risks on the ground, not too high; (b)) in addition to regulatory inspection programs retroactive authority performs its internal model validation checks, including retroactive checks, in relation to their portfolio risks and bodies; (c) the use of hypothetical portfolios) to ensure that the internal model is able to take account of the particular structural features that could be relevant, for example, significant base risks and concentration risk.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 5. Specific risk modeling requirements 56. the internal model used to calculate the capital requirements for specific risk, and the internal model correlation trade meet the following additional requirements: a) it explains the historical price variation in the portfolio; (b) it covers the portfolio concentration) and structural changes; (c)) it is resistant to an adverse environment; d) it is validated through back-testing aimed at assessing whether specific risk is being accurately; If the authority performing the following retrospective examination, on the basis of relevant sub-portfolios, it chooses consistently; (e) it covers a particular debtor)-related basis risk, which means that the model is sensitive to essential individual characteristic differences between similar but not identical positions; f) it captures event risk.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 57. the authority can choose specific risk capital requirement calculation, using the internal model does not include the items in respect of which the same capital requirements for specific risk in accordance with EU Regulation No. 575/2013 article 332 paragraph 1 e) or EU Regulation No 575/2013 article 337 except for the positions covered by the EU regulations No. 575/2013 article 377 approach.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 58. Internal model does not include debt instruments traded default and migration risk, if the authority covering those risks with EU Regulation No. 575/2013 title IV of part three, Chapter 5, section 4.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 6. IRC internal model 59. If the institution uses an internal model of traded debt instrument specific risk capital requirements, the Authority also creates the IRC internal model trading book positions contained liability and the risks of migration, which are incremental to the risks, which include the RPVS, calculated according to the EU Regulation No. 575/2013 article 1 of 365.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 60. IRC the internal model meets the EU Regulation No. 575/2013 article 372, assuming a constant level of risk, and adjusted where necessary to reflect the liquidity, concentrations, hedging and choice.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 61. IRC internal model provides reasonable differentiation of risk and accurate and consistent incremental default and migration risk estimates.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 62. IRC internal model estimates with respect to the possible loss is essential to managing risk.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (describing) compliance criteria based on internal documents, policies, procedures, reports, etc. 63. market and position data, used in IRC the internal model are updated and they made a decent quality assessment.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 64. IRC the internal model meets the EU Regulation No. 575/13 paragraph 3 of article 367, 368, 369 article 1 paragraph of article and article 370 b), c), (e) and (f))).
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 6.1. IRC internal model scope 65. IRC internal model includes all positions, which are subject to specific risk capital requirement, including those to which a 0% risk capital requirements in accordance with EU Regulation No. 575/2013 article 336. IRC internal model does not include the securitisation positions with n-so the default credit derivatives.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 66. IRC internal model includes all stock exchange listed equity and derivative positions, on the basis of stock exchange listed equity securities. Authority do it consistently, and this approach is relevant to how the body internally measured and managed risk.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 6.2. IRC internal model parameters 67. IRC internal model calculation a number that characterizes the defaults or internal or external ratings migration effects with 99.9% confidence interval of one year. The calculation is made at least once a week.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 68. Correlation assumptions based on objective data analysis are conceptually based system. Internal model properly reflects the concentration of the issuer. The model also reflect the concentrations which may occur in the tension in each product category and between product categories.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 69. IRC the internal model shall reflect the impact of correlations between default and migration events. It does not reflect the impact of diversification between, on the one hand, default and migration and, on the other hand, other market risk factors.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 70. Internal model is based on the assumption of a constant level of risk within one year, implies that the individual's trading book position or a position as a whole, which has occurred in the period of liquidity defaults or migration, the need to balance the liquidity at the end of the period for the initial level of risk. The authority may also decide to consistently use one year constant position assumption.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 71. periods of liquidity is determined according to the time it takes to tight market conditions, sell the position or restrict all important prices significantly risks, especially given the size of the position. Liquidity periods reflect actual practice and experience both systematic and individual differences in stress situations. Periods of liquidity is measured based on cautious assumptions, and they are long enough to even selling or hedging activities would not significantly affect sales or hedging transaction price.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 72. Position or set of positions under the minimum liquidity period is three months.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 73. relevant periods of liquidity position or a position of authority take into account internal policies with respect to the rating adjustments and inert position management. If the institution determines liquidity periods instead of several positions, but the position as a whole, the set of criteria for defining the positions shall be determined in such a way that meaningfully reflects differences in liquidity. Period of liquidity higher concentrated positions, reflecting the longer period required for these positions. Securitisation transaction period of liquidity reflects the length of time it takes to create, sell and vērtspapīrot assets or tight market conditions limited the relevant risk factors.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 6.3. Hedging position recognition IRC internal model 74. Body hedging positions may include the institution's internal model to capture the incremental default and migration risks.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 75. Including hedging positions in IRC the internal model, the positions can take off if interrelationships long or short positions refer to the same financial instrument. Hedging or diversification effects resulting from long and short positions of the same debtor's various instruments or different securities, as well as long and short positions in different issuers may recognize only clear modelling gross long and short positions in the various instruments.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 76. Body reflects all the relevant risks that may arise in the time interval between the hedging position limit and period of liquidity effects, as well as the essential base of potential risks in connection with hedging strategies by product, by priority capital structure, internal or external assessment, the issue date, and other instruments.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 77. Body reflects hedging only to the extent that the instrument is available to the debtor, even when the debtor is required to receive a credit, or in other cases.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 78. Positions that risk is limited by the dynamic hedging strategies, hedging positions, positions for which the renewal limit the risk, the liquidity can be recognised in the period when the authority: (a)) select simulate hedging positions consistently concerned the restoration of trading book positions collection; b) show that the inclusion of the results of the restoration provides better risk measurement; c) shows that the instruments used for hedging market sufficiently liquid to following restoration can also be performed during periods of tension. All other risks of the dynamic security strategy reflects the capital requirements.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 6.4. Special requirements for IRC internal model 79. Internal model, which includes the incremental default and migration risks, reflect the non-linear options, structured credit derivatives and other positions with significant non-linearity in relation to price changes. Authority shall also take due account of the risks inherent in the model prices and calculation of the risk assessment for such products.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 80. Internal model based on an objective and updated data.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 81. In connection with the independent review and its internal models used, validation of this chapter needs, including risk measurement systems, in particular: (a) the institution) checks whether the model it uses correlation and price changes, corresponds to the commercial portfolio, as well as systemic risk factor selection and weightings; (b) perform various stress tests), including sensitivity analysis and scenario analysis to qualitatively and quantitatively measure the utility of the internal model, particularly as regards concentration; These tests not only apply to cases already occurred; (c)) the quantitative validation including relevant internal modelling benchmarks.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 82. Internal model is consistent with the institution's internal risk management method is used to identify, calculate and manage the trading risks.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 83. the authority shall document their own internal models to its correlation and other modelling assumptions are transparent to the competent authorities.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 84. Internal model carefully assess the risk arising from less liquid positions and positions with limited price transparency, based on realistic market scenarios. In addition, the internal model meets the minimum data standards. The capital is sufficiently conservative, and they can only be used where available data are not adequate or does not reflect the true position or portfolio volatility.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 7. Correlation of internal trade model 85. institutions are allowed to use an internal model for the specific risk of a debt instrument and the internal model meets the EU Regulation No. 575/2013 article 367 and 368. paragraph 3, article, paragraph 1 of article 369 and 370), article b), c), (e) and (f))).
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 86. the authority that the internal model is used to calculate a number that all properly price risk with 99.9% confidence interval for a period of one year, assuming a constant level of risk, and if necessary, making adjustments to reflect the liquidity, concentrations, hedging and choice. The body of this calculation shall be made at least once a week.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 87. Correlation of internal model trading properly includes the cumulative risk, the number of default cases, including consecutive cases of default in editions distributed products.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 88. Correlation of internal model trading properly includes the risk of credit risk margins, including gamma and cross-gamma factors.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 89. Correlation of internal model trading properly includes the correlation of volatility, including credit risk and correlation between the difference in impact.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 90. Correlation of internal model trading properly includes the basis risk, consisting of: (a)) index spreads and the margin of the individual debtor basis; (b)) and the index difference index created in the structure of the portfolio correlation.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall assess and justify the (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 91. Correlation of internal trade model include proper recovery rates volatility because it is associated with the recovery rate trend affect the release price.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc., 92. Correlation trading internal model, as far as appropriate include comprehensive risk measure includes benefits from dynamic hedging strategies, hedging position deviation risk and possible costs again to restore the following hedging positions.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc 93. Correlation of internal model trading due to include any other relevant position price correlation risks in the trading book.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 94. Correlation of internal trade model is used, sufficient market data, to ensure that the authority in its internal approach to fully include the exposure of major risks according to EU Regulation No 575/2013 377. the requirements set out in article.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 95. Retroactive testing or other appropriate means, it has been demonstrated that the internal model can adequately explain historical price of these products.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 96. Body has the appropriate policies and procedures to separate the positions for which you have received permission to use an internal model for the calculation of own funds requirements from other positions, for which it has not received such permission.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. for the entire position 97. included in the portfolio of the internal model referred to the EU Regulation No. 575/2013 article 377 (1), the Authority regularly apply special, predefined tension set of scenarios. With these stress scenarios, check tension effects on indicators of default, recovery rates, credit spreads, basis risk, correlations and other relevant risk factors correlation trading portfolio. Authority to apply these scenarios of tension at least once a week and at least once a quarter shall notify the competent authorities results, including comparisons with the institution's own funds requirements, which are obtained by using the internal model. On every occasion when the stress test results significantly exceeded equity correlation of requirements for the trading book, body in good time to the competent authorities.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 98. Internal model carefully assess the risk arising from less liquid positions and positions with limited price transparency, based on the realistic market scenarios. In addition, the internal model meets the minimum data standards. The capital is sufficiently conservative, and it can be used only when the available data is not sufficient or do not reflect the true position or portfolio volatility.
Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc.
  7. the annex to the financial and capital market Commission 29.11.2016. regulatory arrangements no. 198 (name) (date of carrying out the self-reflection) internal methods, approaches or models using the same capital requirement calculation requirements compliance self-assessment 1. compliance with EU Regulation No. 575/2013 Under the EU regulation prasībām1 no 575/2013 article text: Article No. Article (article) text (no article) (EU Regulation No 575/2013 article text) Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 1 using the table below, the authority shall assess the compliance of other internal models, approaches or methods which are not included in the 3, 4, 5 and 6 in the annex. 2. compliance with other regulatory requirements (such as regulating technical standards, developed on the basis of EU Regulation No. 575/2013 delegation contained), attributable to the particular internal method, approach or the appropriate regulatory modeli2 full name: according to the text of the regulation: Article No. Article (article) text (no article) (according to the text of the regulatory framework) Assessment of conformity assessment of the justification the reference to the institution's internal documents, specifying the appropriate point in the match, the match, partial match, not applicable. The authority shall consider and justify (description) the criterion of conformity based on internal documents, policies, procedures, reports, etc. 2 using the table below, the authority shall assess the compliance of other internal models, approaches or methods which are not included in the 3, 4, 5 and 6 in the annex.