Terugkoppeling onderzoek marktrisico handelaren eigen rekening

In mid-January 2023, DNB initiated an investigation into market risk among a group of supervised proprietary traders.
The purpose of this inquiry was to gain an understanding of the reporting and risk management framework for market risk.
While individual institutions will receive specific feedback, this sector-wide news update focuses on the general findings and areas of concern arising from the investigation.
The research has revealed that proprietary traders (referred to as „HER“ – handelaren voor eigen rekening) primarily rely on market risk requirements for their capital adequacy. The investigation also found that HERs generally maintain a substantial capital buffer well above the minimum requirements. This buffer is not necessarily held to absorb losses but rather to take advantage of trading opportunities in volatile markets.
The importance of intraday/real-time monitoring of capital requirements for market risk is evident.
However, the capital requirement derived from the IFR is based on end-of-quarter positions, while highly automated algorithmic traders are exposed to most of their risks during the trading day. Article 9 of the IFR states that investment firms must always meet capital requirements, making regular monitoring of market risk exposure during trading a necessary best practice.
As a result of this investigation, DNB wishes to reiterate the significance of data quality to all supervised institutions. Data is a crucial tool for effective and efficient oversight. DNB notes that errors in prudential reporting still occur too frequently and, therefore, calls on all investment firms and managers to pay attention to this issue once again.