+Article 47 2

Article 47 2

2.   For the purposes of paragraph 1, point (b), competent authorities may, where they deem the tests performed by the institution to set the number of simulations insufficient:

(a)

require the institution to provide the Monte Carlo statistical error at 95 % confidence level, and verify whether the method employed to measure such statistical error is sound;

(b)

require the institution to calculate the value-at-risk measure with several different seeds, all other assumptions being equal, and verify that the method used to generate simulation does not create bias in the results;

(c)

assess whether the differences in the value-at-risk measures with a different seed, as calculated in accordance with point (b), are compatible with the statistical error referred to in point (a), and, where that is not the case, assess the root cause of such incompatibility and the number of simulations needed to ensure that the statistical error is below 5 %.

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
  • 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.