Related provisions for GENPRU 1.2.63
1 - 13 of 13 items.
A firm must make a written record of the assessments required under this section. These assessments include assessments carried out on a consolidated basis and on a solo basis. In particular it must make a written record of:(1) the major sources of risk identified in accordance with GENPRU 1.2.30R (2) (Main requirement relating to risk processes, strategies and systems);(2) how it intends to deal with those risks; and(3) details of the stress tests and scenario analyses carried
There are three broad purposes of stress testing and scenario analysis. Firstly, it can be used as a means of quantifying how much capital might be absorbed if an adverse event or events occurred. As such it represents a simple ‘what if’ approach to estimating exposure to risks. This might be a proportionate approach to risk management for an unsophisticated business. Secondly, it can be used to provide a check on the outputs and accuracy of risk models; particularly, in identifying
Both stress testing and scenario analyses are forward-looking analysis techniques, which seek to anticipate possible losses that might occur if an identified risk crystallises. In applying them, a firm should decide how far forward to look. This should depend upon:(1) how quickly it would be able to identify events or changes in circumstances that might lead to a risk crystallising resulting in a loss; and(2) after it has identified the event or circumstance, how quickly and effectively
(1) 6In identifying an appropriate range of adverse circumstances and events in accordance with GENPRU 1.2.42R (2):(a) a firm will need to consider the cycles it is most exposed to and whether these are general economic cycles or specific to particular markets, sectors or industries;(b) for the purposes of GENPRU 1.2.42R (2)(a), the amplitude and duration of the relevant cycle should include a severe downturn scenario based on forward looking hypothetical events, calibrated against
A firm must make a written record of the assessments required under this chapter. These assessments include those carried out on a consolidated basis and on an individual basis. In particular, it must make a written record of:(1) the major sources of risk identified in accordance with the overall Pillar 2 rule;(2) how it intends to deal with those risks; and(3) details of the stress tests and scenario analyses carried out, including any assumptions made in relation to scenario
A firm should include in the written record in IFPRU 2.2.43 R (Documentation of risk assessments) a description of the broad business strategy of the FCA consolidation group or the non-EEA sub-group of which it is a member, the group's view of its principal risks and its approach to measuring, managing and controlling the risks. This description should include the role of stress testing, scenario analysis and contingency planning in managing risk on an individual basis and consolidated
The obligation to conduct an ICAAP includes requirements on a firm to: (1) carry out regularly assessments of the amounts, types and distribution of financial resources, own funds and internal capital that it considers adequate to cover the nature and level of the risks to which it is or might be exposed (IFPRU 2.2.1 R to IFPRU 2.2.6 G (the overall Pillar 2 rule and related rules)); (2) identify the major sources of risk to its ability to meet its liabilities as they fall due
As part of its SREP, the FCA will also consider whether a firm should hold a capital planning buffer and the amount and quality of such capital planning buffer. In making these assessments, the FCA will have regard to the nature, scale and complexity of a firm's business and of the major sources of risks relevant to such business as referred to in the general stress and scenario testing rule and SYSC 20 (Reverse stress testing), as applicable. Accordingly, a firm'scapital planning
(1) This paragraph applies to a firm that is not a significant IFPRU firm (see IFPRU 1.2.3 R) whose activities are simple and primarily not credit-related.(2) In carrying out its ICAAP it could: (a) identify and consider that firm's largest losses over the last three to five years and whether those losses are likely to recur;(b) prepare a short list of the most significant risks to which that firm is exposed;(c) consider how that firm would act, and the amount of capital that
As part of its business planning and risk management obligations under SYSC, a firm must reverse stress test its business plan; that is, it must carry out stress tests and scenario analyses that test its business plan to failure. To that end, the firm must:(1) identify a range of adverse circumstances which would cause its business plan to become unviable and assess the likelihood that such events could crystallise; and(2) where those tests reveal a risk of business failure that
4The financial risk assessment should be based on a methodology which provides a reasonable estimate of the potential business losses which a UK RIE might incur in stressed but plausible market conditions. The FCA5 would expect a UK RIE to carry out a financial risk assessment at least once in every twelve-month period, or more frequently if there are material changes in the nature, scale or complexity of the UK RIE's operations or its business plans that suggest such financial
8The appropriate regulator considers that:(1) in order to comply with GENPRU 2.2.79G R, the firm should, at a minimum, provide the appropriate regulator with the following information:(a) a comprehensive explanation of the rationale for the purchase;(b) the firm's financial and solvency position before and after the purchase, in particular whether the purchase, or other foreseeable internal and external events or circumstances, may increase the risk of the firm breaching its