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Pillar I Market Risk data

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									                                      Pillar 1 Market Risk data                                              Dec 08


Credit institutions:                  Own funds requirements market risk % of Total Own Funds
                                                                                                                 5%
Own funds requirement                 requirements
                                                                               Standardised approach           34%
                                      % number **
 Credit institutions: distribution by                                          VAR                              1%
              approach                Own funds requirements % of Own Funds Standardised approach              53%
                                      requirements on Market Risk              VAR                             47%
                                                                               Traded debt instruments         40%
 Credit institutions: distribution by Own Funds Requirements                   Equity                           1%
                                      % of Own Funds Requirements on Market
         type of market risk          Risk                                     Foreign Exchange                10%
                                                                               Commodities                      2%
Investment firms: own funds
                                                                                                                 6%
requirement                           Own funds requirements market risk % of Total Own Funds requirements
                                                                               Traded debt instruments          6%
                                      Own Funds Requirements
  Investment firms: distribution by                                            Equity                          19%
                                      % of Own Funds Requirements on Market
         type of market risk          Risk                                     Foreign Exchange                75%
                                                                               Commodities                      0%
                                                                               Standardised approach           56%
                                      % number **
  Investment firms: distribution by                                            VAR                              0%
              approach                Own funds requirements % of Own Funds Standardised approach             100%
                                      requirements on Market Risk              VAR                              0%

Index:
N/A: not available
C: confidential
N/M: non material

**) If an institution uses more than one approach, it will be counted accordingly




                                             Pillar I Market Risk data
to CEBS website




                  Pillar I Market Risk data

								
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