anx_V__point_2__list_2

the adequacy of the documentation of the risk‐management system and process and the organisation of the risk‐control unit; the integration of market risk measures into daily risk management and the integrity of the management information system; the process the institution employs for approving risk‐pricing models and valuation systems that are used by front and back‐office personnel; the scope of market risks captured by the risk‐measurement model and the validation of any significant changes in the risk‐measurement process; the accuracy and completeness of position data, the accuracy and appropriateness of volatility and correlation assumptions, and the accuracy of valuation and risk sensitivity calculations; the verification process the institution employs to evaluate the consistency, timeliness and reliability of data sources used to run internal models, including the independence of such data sources; and the verification process the institution uses to evaluate back‐testing that is conducted to assess the models' accuracy.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-10 · Text as adopted (Official Journal); later amendments are not incorporated in this text.