+CHAPTER 3 ASSESSMENT OF THE INTERNAL RISK-MEASUREMENT MODEL USED TO COMPUTE THE EXPECTED SHORTFALL RISK MEASURE AND THE STRESS SCENARIO RISK MEASURE
---+SECTION 1 Overview of the assessment
------+Article 22 Introduction to the assessment of the internal risk-measurement model used to compute the expected shortfall measure and the stress scenario risk measure
---------+Article 22 (a)
---------+Article 22 (b)
---------+Article 22 (c)
---------+Article 22 (d)
---------+Article 22 (e)
---+SECTION 2 Assessment of the internal risk measurement model’s risk factors set-up and properties
------+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 2 Assessment of the risk factors properties
---------+Article 32 Assessment of the modellability of risk factors
------------+Article 32 1
------------+Article 32 2
------------+Article 32 3
------------+Article 32 4
------------+Article 32 5
------------+Article 32 6
------------+Article 32 7
---------+Article 33 Assessment of the risk factors’ liquidity horizon
------------+Article 33 1
------------+Article 33 2
------------+Article 33 3
------------+Article 33 4
---+SECTION 3 Assessment of proxies and data quality
------+Article 34 Assessment of proxies
---------+Article 34 1
---------+Article 34 2
---------+Article 34 3
---------+Article 34 4
---------+Article 34 5
------+Article 35 Assessment of the data quality
---------+Article 35 1
---------+Article 35 2
---------+Article 35 3
---+SECTION 4 Assessment of compliance with requirements relating to the back-testing and profit-loss attribution test
------+Article 36 Assessment of the technical elements to be included in the actual and hypothetical changes in the portfolio’s value for the back-testing requirements
---------+Article 36 1
---------+Article 36 2
---------+Article 36 3
------+Article 37 Assessment of the analysis of overshootings
---------+Article 37 1
---------+Article 37 2
---------+Article 37 3
---------+Article 37 4
------+Article 38 Assessment of compliance with the profit and loss attribution requirements
---------+Article 38 1
---------+Article 38 2
---------+Article 38 3
---------+Article 38 4
---------+Article 38 5
---------+Article 38 6
---------+Article 38 7
---------+Article 38 8
---+SECTION 5 Assessment of compliance with requirements relating to the treatment of foreign-exchange and commodity risk in the non-trading book
------+Article 39 Assessment of the calculation of the own funds requirements for foreign exchange and commodity risk in the non-trading book
---------+Article 39 1
---------+Article 39 2
---------+Article 39 3
---------+Article 39 4
---------+Article 39 5
---------+Article 39 6
---------+Article 39 7
---------+Article 39 8
---------+Article 39 9
---+SECTION 6 Assessment of the calculation of the expected shortfall risk measures and the stress scenario risk measure
------+Subsection 1 Assessment of aspects that are relevant both for the calculation of the expected shortfall risk measures and the stress scenario risk measure
---------+Article 40 Assessment of the capability of the internal risk-measurement model to capture non-linearities
------------+Article 40 1
------------+Article 40 2
------+Subsection 2 Assessment of aspects that are relevant for the calculation of the expected shortfall risk measures
---------+Article 41 Assessment of the calculation of the expected shortfall risk measure
------------+Article 41 1
------------+Article 41 2
------------+Article 41 3
---------+Article 42 Assessment of the calculation of the partial expected shortfall measures
------------+Article 42 1
------------+Article 42 2
------------+Article 42 3
------------+Article 42 4
---------+Article 43 Assessment of distributional and statistical assumption
------------+Article 43 1
------------+Article 43 2
------------+Article 43 3
------+Subsection 3 Assessment of aspects that are relevant for the calculation of the stress scenario risk measure
---------+Article 44 Assessment of the stress scenario risk measure
------------+Article 44 1
------------+Article 44 2
------------+Article 44 3
------------+Article 44 4
------------+Article 44 5
------------+Article 44 6
------------+Article 44 7
------------+Article 44 8
------------+Article 44 9
------------+Article 44 10
------------+Article 44 11
------------+Article 44 12
------------+Article 44 13
------------+Article 44 14
------------+Article 44 15
------------+Article 44 16

CHAPTER 3 ASSESSMENT OF THE INTERNAL RISK-MEASUREMENT MODEL USED TO COMPUTE THE EXPECTED SHORTFALL RISK MEASURE AND THE STRESS SCENARIO RISK MEASURE

CHAPTER 3 ASSESSMENT OF THE INTERNAL RISK-MEASUREMENT MODEL USED TO COMPUTE THE EXPECTED SHORTFALL RISK MEASURE AND THE STRESS SCENARIO RISK MEASURE

1. Ħarsa ġenerali

,
SECTION 1 Overview of the assessment SECTION 1 Overview of the assessment
SECTION 2 Assessment of the internal risk measurement model’s risk factors set-up and properties SECTION 2 Assessment of the internal risk measurement model’s risk factors set-up and properties
SECTION 3 Assessment of proxies and data quality SECTION 3 Assessment of proxies and data quality
SECTION 4 Assessment of compliance with requirements relating to the back-testing and profit-loss attribution test SECTION 4 Assessment of compliance with requirements relating to the back-testing and profit-loss attribution test
SECTION 5 Assessment of compliance with requirements relating to the treatment of foreign-exchange and commodity risk in the non-trading book SECTION 5 Assessment of compliance with requirements relating to the treatment of foreign-exchange and commodity risk in the non-trading book
SECTION 6 Assessment of the calculation of the expected shortfall risk measures and the stress scenario risk measure SECTION 6 Assessment of the calculation of the expected shortfall risk measures and the stress scenario risk measure

1.1 Referenzi

1.2 Rekwiżiti identifikati

1.3 Standards relatati

2. Rekwiżiti identifikati

Rekwiżiti

3. Standards relatati

Standards