+Article 29 6

Article 29 6

6.   Competent authorities shall assess whether all the techniques used by the institution to build a curve, including interpolation and extrapolation techniques, are sound. Where part of the curve is derived by extrapolating its two outer points, competent authorities shall verify whether the volatility of the returns observed in the market for the extrapolated part of the curve does not significantly differ from that resulting from the extrapolation. For that purpose, competent authorities may apply the assessment methods referred to in paragraphs 3 and 5 by picking a point in the curve obtained via extrapolation when applying point (b), of those paragraphs.

1. Panoramica

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Titolo Regolamentazione

1.1 Riferimenti

1.2 Requisiti identificati

1.3 Standard correlati

2. Requisiti identificati

Requisiti
Fonte Requisito

3. Standard correlati

Standard
Fonte Requisito