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Revision of the High-risk Portfolios in the SRP

Yearly review of the High-risk Portfolios in the SRP

Annex 1 is the part of the Guidelines for the Supervisory Review Process (SRP), which provide an overview of those risk assumptions and high-risk portfolios to which the Central Bank of Hungary (MNB) prescribes additional capital requirement in the SREP process. The MNB reviews the high-risk portfolios at least annually, on the basis of the experience gained during the SREP examinations, the yearly supervisory priorities, the changes in regulation and the developments observed in the market and at the institutions.

The measures set out in Information Bulletin are applied by the MNB from 1st January 2014.

In connection with the Information Bulletin the MNB also publishes an Excel table called “Data request for examining high risk portfolios” with the aim of facilitating the examination of high risk portfolios.

The Supervisory Review Process (SRP) – Guidelines (May 2012) data/cms2366279/SREP_Guidelines_201303.pdf SREP_Guidelines_201303.pdf application/pdf 2197 2249969 Information on high-risk portfolios and the related capital surplus requirements (December 2013) data/cms2417759/Information_on_high_risk_portfolios_and_the_related_capital_surplus_requirements_(December_2013).pdf Information_on_high_risk_portfolios_and_the_related_capital_surplus_requirements_(December_2013).pdf application/pdf 391 401083 SREP sheet data/cms2366281/SREP_Sheet.xlsx SREP_Sheet.xlsx application/vnd.openxmlformats-officedocument.spreadsheetml.sheet 12 12875 Classification of institutional protection schemes in the credit institution sector data/cms2366282/SREP_Classification_of_institutional_protection_schemes.doc SREP_Classification_of_institutional_protection_schemes.doc application/msword 43 44032 ICAAP Guidelines (May 2012) data/cms2366283/ICAAP_Guidelines_201303.pdf ICAAP_Guidelines_201303.pdf application/pdf 954 977150 Internal model requested to be applied for foreign exchange risk calculation (October 2011) - under revision data/cms2366284/ICAAP_VAR_model.pdf ICAAP_VAR_model.pdf application/pdf 290 297439 Data request for examining high risk portfolios data/cms2417760/Data_request_for_examining_high_risk_portfolios.xlsx Data_request_for_examining_high_risk_portfolios.xlsx application/vnd.openxmlformats-officedocument.spreadsheetml.sheet 18 19406 ICAAP-SREP archive http://www.pszaf.hu/en/priorities/srep_archiv 2010 10 13 4 15 1 44 false 0 true
Attached contents
Downloadables
The Supervisory Review Process (SRP) – Guidelines (May 2012) (2197KB)
Information on high-risk portfolios and the related capital surplus requirements (December 2013) (391KB)
SREP sheet (12KB)
Classification of institutional protection schemes in the credit institution sector (43KB)
ICAAP Guidelines (May 2012) (954KB)
Internal model requested to be applied for foreign exchange risk calculation (October 2011) - under revision (290KB)
Data request for examining high risk portfolios (18KB)
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