+Article 20 2

Article 20 2

2.   Where positions corresponding to product classes assigned to a trading desk are booked back-to-back with those of another entity of the group that is outside the scope of the highest level of consolidation within the Union, and the competent authority needs more evidence to verify that the internal risk-measurement model is reasonably accurate, the competent authority may require institutions to provide:

(a)

the actual, hypothetical, and risk theoretical changes over 60 business days in the trading desk portfolio’s value, without any hedges with the entity of the group being considered;

(b)

the value-at-risk numbers at trading desk level as referred to in Article 325bf of Regulation (EU) No 575/2013 over 60 business days, without any hedges with the entity of the group being considered;

(c)

an assessment of the profit and loss attribution results and back-testing results in light of the changes in the portfolio’s values referred to in point (a) and the value-at-risk numbers referred to in point (b).

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
  • Builddate: 17.06.2024 00:00:00 -Doknr: CELEX:32024R1085
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