+Article 52 (c)
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Article 52 (c)
in relation to the requirement to capture non-linearities as required by Article 325bp(3) of Regulation (EU) No 575/2013, assess:
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(i)
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how institutions revalue a non-linear financial instrument following the default of an issuer, including how institutions revalue a financial instrument with multiple underlying following the default of an individual issuer or of multiple issuers corresponding to the underlyings;
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(ii)
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whether any simplifications introduced by the institution to calculate the price of a financial instrument leads to material inaccuracies or a systematic underestimation of the risk;
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(iii)
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the extent to which the revaluation of a financial instrument takes into account model risk;
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1. Επισκόπηση
1.1 Παραπομπές
1.2 Εντοπισμένες απαιτήσεις
1.3 Σχετικά πρότυπα
2. Εντοπισμένες απαιτήσεις
3. Σχετικά πρότυπα
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