253. Following the above assessment, competent authorities should form a view on the institution's market risk. This view should be reflected in a summary of findings, accompanied by a risk score based on the considerations specified in Table 5. If, based on the materiality of certain risk sub-categories, the competent authority decides to assess and score them individually, the guidance provided in this table should be applied, as far as possible, by analogy.
254. Since factors such as complexity, level of concentration and the volatility of market exposures' returns may not be perfect indicators of the market risk level, in assessing and scoring inherent market risk, competent authorities should consider all these factors in parallel and not in isolation and understand the drivers behind volatility trends.
Table 5. Supervisory considerations for assigning a market risk score
|
Risk score |
Supervisory view |
Considerations in relation to inherent risk |
Considerations in relation |
|---|