+Article 22 Introduction to the assessment of the internal risk-measurement model used to compute the expected shortfall measure and the stress scenario risk measure
---+Article 22 (a)
---+Article 22 (b)
---+Article 22 (c)
---+Article 22 (d)
---+Article 22 (e)
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Article 22 Introduction to the assessment of the internal risk-measurement model used to compute the expected shortfall measure and the stress scenario risk measure
When assessing an institution’s compliance with the requirements applicable to the internal risk-measurement model used to compute the expected shortfall risk measure and the stress scenario risk measure, competent authorities shall assess whether the institution complies with:
1. Overview
| Summary |
Regulation |
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Article 22 (a)
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Section 2 of this Chapter, which contains requirements on risk factors, including the modellability assessment and the mapping to the appropriate liquidity horizon;
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Article 22 (b)
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Section 3 of this Chapter, which contains requirements on data quality and the proxy approaches used in the calculation of:
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(i)
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the expected shortfall measure referred to in Article 325bb of Regulation (EU) No 575/2013;
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(ii)
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the stress scenario risk measure referred to in Article 325bk of Regulation (EU) No 575/2013;
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Article 22 (c)
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Section 4 of this Chapter, which contains requirements on back-testing and profit and loss attribution;
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Article 22 (d)
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Section 5 of this Chapter, which contains requirements on the treatment of foreign exchange risk and commodity risk in the non-trading book;
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Article 22 (e)
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Section 6 of this Chapter, which contains requirements on the expected shortfall measure and the stress scenario risk measure calculations.
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,
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 -
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