|
+Article 325ba 1. |
Article 325ba 1.An institution using an alternative internal model shall calculate the own funds requirements for the portfolio of all positions assigned to the trading desks for which the institution has been granted permission as referred to in Article 325az(2) as the higher of the following:
(a)
the sum of the following values:
(i)
the institution's previous day's expected shortfall risk measure, calculated in accordance with Article 325bb (ESt-1), and
(ii)
the institution's previous day's stress scenario risk measure, calculated in accordance with Section 5 (SSt-1); or
(b)
the sum of the following values:
(i)
the average of the institution's daily expected shortfall risk measure, calculated in accordance with Article 325bb for each of the preceding sixty business days (ESavg), multiplied by the multiplication factor (mc); and
(ii)
the average of the institution's daily stress scenario risk measure, calculated in accordance with Section 5 for each of the preceding sixty business days (SSavg). Where calculating the own funds requirements for market risk using an internal model in accordance with the first subparagraph, an institution shall not include its own credit spreads in the calculation of the measures referred to in points (a) and (b) for positions in the institution’s own debt instruments. 1. Übersicht
1.1 Referenzen1.2 Identifizierte Anforderungen1.3 Zugehörige Standards2. Identifizierte Anforderungen
3. Zugehörige Standards
|