+Artikolu 11 Il-kalkolu tal-mudell tar-riskju tal-AVA
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---+Article 11 2.
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Artikolu 11 Il-kalkolu tal-mudell tar-riskju tal-AVA

Artikolu 11

Il-kalkolu tal-mudell tar-riskju tal-AVA

1.  L-istituzzjonijiet għandhom jistmaw il-mudell tar-riskju AVA għal kull mudell ta' valutazzjoni (“mudell tar-riskju individwali tal-AVA”) billi jiġi kkunsidrat il-mudell tal-valutazzjoni tar-riskju li jinħoloq minħabba l-eżistenza potenzjali ta' firxa ta' mudelli differenti jew kalibrazzjonijiet tal-mudell, li huma użati minn parteċipanti fis-suq, u n-nuqqas ta' prezz tal-ħruġ għal prodott speċifiku li jkun qiegħed jiġi stmat. L-istituzzjonijiet ma jikkunsidrawx il-mudell tal-valutazzjoni tar-riskju li jinħoloq minħabba kalibrazzjonijiet minn parametri derivati tas-suq, li jingħata skont l-Artikolu 9.

2.  Ir-riskju tal-mudell AVA jiġi kkalkulat bl-użu ta' wieħed mill-metodi definiti fil-paragrafi 3 u 4.

3.  Meta jkun possibbli, l-istituzzjonijiet jikkalkulaw ir-riskju tal-mudell AVA billi jistabbilixxu firxa ta' alternattivi plawżibbli ta' valutazzjonijiet minn strateġiji alternattivi ta' mudellar u kalibrazzjoni xierqa. F'dan il-każ, l-istituzzjonijiet jistmaw punt fil-firxa li tirriżulta ta' valutazzjonijiet fejn huma 90 % kunfidenti li jistgħu joħorġu l-valutazzjoni tal-esponiment għal dak il-prezz jew aħjar.

4.  Meta l-istituzzjonijiet ma jkunux jistgħu jużaw l-approċċ definit fil-paragrafu 3, huma japplikaw approċċ ibbażat fuq il-kompetenza biex jiġi stmat ir-riskju tal-mudell AVA.

5.  L-approċċ ibbażat fuq l-esperti jikkunsidra dawn kollha li ġejjin:

(a) 

il-kumplessità tal-prodotti rilevanti tal-mudell;

(b) 

id-diversità ta' approċċi matematiċi possibbli u parametri tal-mudell, fejn dawk il-mudelli tal-parametri ma jkunux marbuta ma' varjabbli tas-suq;

(c) 

il-grad sa fejn is-suq ta' prodotti rilevanti huwa “one way”

(d) 

l-eżistenza ta' riskji li ma jistgħux jiġu ħħeġġjati fil-prodotti rilevanti;

(e) 

l-adegwatezza tal-mudell biex jaqbad l-imġiba tal-gwadan tal-prodotti fil-portafoll.

L-istituzzjonijiet jinnotifikaw lill-awtoritajiet kompetenti bil-mudelli li għalihom jiġi applikat dan l-approċċ u l-metodoloġija użata biex tiddetermina l-AVA.

6.  Meta l-istituzzjonijiet jużaw il-metodu deskritt fil-paragrafu 4, il-prudenza tal-metodu tkun konfermata kull sena permezz ta' tqabbil bejn dan li ġej:

(a) 

l-AVA kkalkulat bl-użu tal-metodu deskritt fil-paragrafu 4, jekk jiġi applikat għal kampjun tal-materjal ta' mudelli ta' valutazzjoni li għalihom l-istituzzjoni tapplika l-metodu fil-paragrafu 3; kif ukoll

(b) 

l-AVA prodotti bil-metodu fil-paragrafu 3 għall-istess kampjun ta' mudell ta' evalwazzjoni.

7.  L-istituzzjonijiet jikkalkulaw il-livell tal-kategorija totali tal-AVA għall-mudell tar-riskju billi japplikaw għall-mudell tar-riskju individwali tal-AVA l-formoli jew tal-Metodu 1 jew tal-Metodu 2 stipulati fl-Anness.

1. Ħarsa ġenerali

,
Article 11 1.
Institutions shall estimate a model risk AVA for each valuation model (‘individual model risk AVA’) by considering valuation model risk which arises due to the potential existence of a range of different models or model calibrations, which are used by market participants, and the lack of a firm exit price for the specific product being valued. Institutions shall not consider valuation model risk which arises due to calibrations from market derived parameters, which shall be captured according to Article 9.
Article 11 2.
The model risk AVA shall be calculated using one of the approaches defined in paragraphs 3 and 4.
Article 11 3.
Where possible, institutions shall calculate the model risk AVA by determining a range of plausible valuations produced from alternative appropriate modelling and calibration approaches. In this case, institutions shall estimate a point within the resulting range of valuations where they are 90 % confident they could exit the valuation exposure at that price or better.
Article 11 4.
Where institutions are unable to use the approach defined in paragraph 3, they shall apply an expert-based approach to estimate the model risk AVA.
Article 11 5.

The expert-based approach shall consider all of the following:

(a) 

complexity of products relevant to the model;

(b) 

diversity of possible mathematical approaches and model parameters, where those model parameters are not related to market variables;

(c) 

the degree to which the market for relevant products is ‘one way’;

(d) 

the existence of unhedgeable risks in relevant products;

(e) 

the adequacy of the model in capturing the behaviour of the pay-off of the products in the portfolio.

Institutions shall notify competent authorities of the models for which this approach is applied, and the methodology used to determine the AVA.
Article 11 6.

Where institutions use the method described in paragraph 4, the prudence of the method shall be confirmed annually by comparing the following:

(a) 

the AVAs calculated using the method described in paragraph 4, if it were applied to a material sample of the valuation models for which the institution applies the method in paragraph 3; and

(b) 

the AVAs produced by the method in paragraph 3 for the same sample of valuation models.
Article 11 7.
Institutions shall calculate the total category level AVA for model risk by applying to individual model risk AVAs the formulae for either Method 1 or Method 2 laid down in the Annex.

1.1 Referenzi

1.2 Rekwiżiti identifikati

1.3 Standards relatati

2. Rekwiżiti identifikati

Rekwiżiti

3. Standards relatati

Standards
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