5.4 Comprehensive Risk Quantification
Effective from 2020-10-17 - Oct 16 2020
To view other versions open the versions tab on the right
| The ILAAP should ensure that risks, that a bank is or may be exposed to, are adequately quantified. The bank is required to do the following: | |
| i. | Implement risk quantification methodologies that are tailored to its individual circumstances, i.e. they are expected to be in line with the bank’s risk appetite, market expectations, business model, risk profile, size and complexity. |
| ii. | Determine sufficiently conservative risk figures, taking into consideration all relevant information. |
| iii. | Ensure adequacy and consistency in its choice of risk quantification methodologies. |
| iv. | Ensure that key parameters and assumptions cover, among other things, confidence levels and scenario generation assumptions. |