+Article 36 3

Article 36 3

3.   For the purposes of paragraph 2, points (a) to (d), competent authorities may apply any of the following assessment methods:

(a)

on a sample of transactions, require the institution to calculate and reconcile the changes in the end-of-day value as resulting from the end-of-day valuation process, the actual changes, and the hypothetical changes;

(b)

on a sample of transactions, require the institution to calculate the hypothetical changes and the risk-theoretical changes, and verify whether the effect of the passage of time is captured consistently;

(c)

compare the profile of the cumulative hypothetical changes to the portfolio’s value over a given period of time and the corresponding cumulative actual changes over the same period to assess the plausibility of the calculations performed by the institution.

1. Vue d’ensemble

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Intitulé Réglementation

1.1 Références

1.2 Exigences identifiées

1.3 Normes associées

2. Exigences identifiées

Exigences
Source Exigence

3. Normes associées

Normes
Source Exigence