+Subsection 1 Assessment of the internal risk measurement model’s risk factors set-up
---+Article 23 Assessment of the internal risk-measurement model’s coverage of the risk
------+Article 23 1
------+Article 23 2
------+Article 23 3
---+Article 24 Assessment of general interest rates risk factors
------+Article 24 1
------+Article 24 2
---+Article 25 Assessment of equity risk factors
------+Article 25 1
------+Article 25 2
---+Article 26 Assessment of credit spread risk factors
------+Article 26 1
------+Article 26 2
---+Article 27 Assessment of foreign exchange risk factors
------+Article 27 1
------+Article 27 2
---+Article 28 Assessment of commodity risk factors
------+Article 28 1
------+Article 28 2
---+Article 29 Assessment of curves
------+Article 29 1
------+Article 29 2
------+Article 29 3
------+Article 29 4
------+Article 29 5
------+Article 29 6
---+Article 30 Assessment of implied volatility surfaces
------+Article 30 1
------+Article 30 2
------+Article 30 3
---+Article 31 Assessment of correlation risk factors

Subsection 1 Assessment of the internal risk measurement model’s risk factors set-up

Subsection 1 Assessment of the internal risk measurement model’s risk factors set-up

1. Overview

,
Article 23 Assessment of the internal risk-measurement model’s coverage of the risk
Article 24 Assessment of general interest rates risk factors
Article 25 Assessment of equity risk factors
Article 26 Assessment of credit spread risk factors
Article 27 Assessment of foreign exchange risk factors
Article 28 Assessment of commodity risk factors
Article 29 Assessment of curves
Article 30 Assessment of implied volatility surfaces
Article 31 Assessment of correlation risk factors

Article 31

Assessment of correlation risk factors

When assessing whether an institution’s internal risk-measurement model captures correlation risk as required by Article 325bh(1), point (b), of Regulation (EU) No 575/2013, competent authorities shall verify that, for multi-underlying options and any other products whose end-of-day value is determined via an implied correlation parameter, a risk factor capturing the risk of changes in the correlation parameter is included in the internal risk-measurement model.

The competent authority may identify options and products relying on an implied correlation parameter by using the information reported in accordance with Article 23 of this Regulation, and by identifying those factors that are correlation parameters.

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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