+Article 12 3
|
Article 12 3
3. For the purposes of paragraph 2, point (b), competent authorities shall:
|
(a)
|
verify whether the internal policies of the institution ensure that the internal periodic validation is performed at least annually, and each time significant structural changes in the market or changes to the composition of the portfolio occur that may lead to the internal model no longer being adequate, including the following:
|
(i)
|
a number of overshootings that deviate significantly from the number anticipated by the model calibration;
|
|
(ii)
|
large market losses relative to the level predicted by risk metrics;
|
|
(iii)
|
a significant change in the institution’s business that may challenge the modelling assumptions;
|
|
(iv)
|
unusual and significant misalignments between the theoretical and hypothetical changes to the portfolios’ values;
|
|
|
(b)
|
verify whether the internal periodic validation is based on a work plan, approved by the management body, and that that work plan sets out:
|
(i)
|
the scope of the internal validation;
|
|
(ii)
|
the tasks performed by the validation unit;
|
|
(iii)
|
the priorities of the internal validation;
|
|
|
(c)
|
assess how the work plan referred to in point (b) ensures that a comprehensive and risk-oriented internal validation process is performed, and that relevant aspects are not omitted from the scope of the internal validation.
|
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- Builddate: 17.06.2024 00:00:00 -Doknr: CELEX:32024R1085
- EULAW -
EN: Legal acts of the European Union from EUR-Lex, https://eur-lex.europa.eu/. © European Union. Re-use is authorised by Decision 2011/833/EU, provided the source is acknowledged; the consolidated texts are licensed under CC BY 4.0 (EUR-Lex legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the legislation published in the Official Journal of the European Union is deemed authentic.
DE: Rechtsakte der Europäischen Union aus EUR-Lex, https://eur-lex.europa.eu/. © Europäische Union. Weiterverwendung nach Beschluss 2011/833/EU mit Quellenangabe gestattet; die konsolidierten Fassungen stehen unter CC BY 4.0 (Rechtlicher Hinweis von EUR-Lex). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Verbindlich sind allein die im Amtsblatt der Europäischen Union veröffentlichten Rechtsakte.
|