+Article 455 2.

Article 455 2.

Institutions shall disclose on an aggregate basis for all trading desks covered by the internal models referred to in Article 325az the following components, where applicable:

(a) 

the most recent value as well as the highest, lowest and mean value for the previous 60 business days of:

(i) 

the unconstrained expected shortfall measure referred to in Article 325bb(1);

(ii) 

the unconstrained expected shortfall measure referred to in Article 325bb(1) for each regulatory broad risk factor category;

(b) 

the most recent value as well as the mean value for the previous 60 business days of:

(i) 

the expected shortfall risk measure referred to in Article 325bb(1);

(ii) 

the stress scenario risk measure referred to in Article 325ba(1), point (b);

(iii) 

the own funds requirement for default risk referred to in Article 325ba(2);

(iv) 

the sum of the own funds requirements referred to in Article 325ba(3), including all components of the formula and the applicable multiplier factor;

(c) 

the number of back-testing overshootings over the most recent 250 business days at the 99th percentile as referred to in Article 325bf(6).

1. Übersicht

,

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards