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Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firms and credit institutions (recast) (repealed)
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the activities the institution considers to be trading and as constituting part of the trading book for capital requirement purposes;
the extent to which a position can be marked‐to‐market daily by reference to an active, liquid two-way market;
for positions that are marked‐to‐model, the extent to which the institution can:
identify all material risks of the position;
hedge all material risks of the position with instruments for which an active, liquid two‐way market exists; and
derive reliable estimates for the key assumptions and parameters used in the model;
the extent to which the institution can, and is required to, generate valuations for the position that can be validated externally in a consistent manner;
the extent to which legal restrictions or other operational requirements would impede the institution's ability to effect a liquidation or hedge of the position in the short term;
the extent to which the institution can, and is required to, actively risk manage the position within its trading operation; and
the extent to which the institution may transfer risk or positions between the non‐trading and trading books and the criteria for such transfers.
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