Part 5.2 Concentration risk 5.2.1 Concentration risk 117 5.2.2 Policies—concentration risk sources and limits 117 5.2.3 Relation to stress-testing 118 Part 5.3 Management of exposures 5.3.1 Calculating exposures 119 5.3.2 Policies—large exposures 120 5.3.3 Limits on exposures 120 5.3.5 Obligation to measure 121 Part 5.4 Powers of Regulatory Authority 5.4.1 Authority can create relationships 122 5.4.2 Authority can set different limits and ratios 122 Chapter 6 Market risk Part 6.1 General Division 6.1.A Governing body, trading book and policies 6.1.1 Introduction 123 6.1.2 Requirements—capital and management of market risk 123 6.1.3 Standard method to be used 123 6.1.4 Need for trading book 124 6.1.5 Role of governing body—market risk 125 6.1.6 Policies—market risk environment 125 6.1.7 Policies—trading book 126 6.1.8 No switching of instruments between books 126 6.1.9 Relation to stress-testing 127 6.1.10 Capital requirement, assets and liabilities 127 Division 6.1.B Measurement of risk and valuation of positions 6.1.11 Valuing positions—mark-to-market 127 6.1.12 Valuing positions—mark-to-model 127 6.1.13 Independent price verification 128 6.1.14 Valuation adjustments 128
Part 5.2 Concentration risk 5.2.1 Concentration risk 117 5.2.2 Policies—concentration risk sources and limits 117 5.2.3 Relation to stress-testing 118 Part 5.3 Management of exposures 5.3.1 Calculating exposures 119 5.3.2 Policies—large exposures 120 5.3.3 Limits on exposures 120 5.3.5 Obligation to measure 121 Part 5.4 Powers of Regulatory Authority 5.4.1 Authority can create relationships 122 5.4.2 Authority can set different limits and ratios 122 Chapter 6 Market risk Part 6.1 General Division 6.1.A Governing body, trading book and policies 6.1.1 Introduction 123 6.1.2 Requirements—capital and management of market risk 123 6.1.3 Standard method to be used 123 6.1.4 Need for trading book 124 6.1.5 Role of governing body—market risk 125 6.1.6 Policies—market risk environment 125 6.1.7 Policies—trading book 126 6.1.8 No switching of instruments between books 126 6.1.9 Relation to stress-testing 127 6.1.10 Capital requirement, assets and liabilities 127 Division 6.1.B Measurement of risk and valuation of positions 6.1.11 Valuing positions—mark-to-market 127 6.1.12 Valuing positions—mark-to-model 127 6.1.13 Independent price verification 128 6.1.14 Valuation adjustments 128
QFCRA_9582_VER5.docx