Response to consultation Paper on draft RTS on liquidity horizons for the IMA

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Q1. Do you agree with the general methodology? If not, please explain why.

Please see the attached file.

Q2. Besides systemic risk factors (i.e. risk factors capturing the market/systemic component of the modelled risk), are there other risk factors/parameters that would reflect risks embedded in more than one subcategories or more than one categories?

Please see the attached file.

Q3. Do you agree with the treatment reserved for homogenous indices?

Please see the attached file.

Q4. Do you have any example of other risk factors that should be subject to the treatment specified for indices?

Please see the attached file.

Q5. Are there any other risk factors for which an ad-hoc treatment should be specified?

Please see the attached file.

Q6. What is your preferred option? Please explain why.

Please see the attached file.

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Name of organisation

Intesa Sanpaolo

Contact name

Francesca Passamonti

Phone number

+32026400080