+Article 23 1

Article 23 1

1.   When assessing the institution’s compliance with Article 325bh(1), point (a), of Regulation (EU) No 575/2013 in relation to the requirement to include in the internal risk-measurement model at least those risk factors that are used in the calculation of the own funds requirements under the alternative standardised approach, the competent authority shall verify whether:

(a)

the institution documents whether there are risk factors used in the standardised approaches that are not included in the internal risk-measurement model;

(b)

the institution highlights all of the following aspects:

(i)

whether there are currencies for which general interest rate risk, including inflation risk or cross-currency basis risk, are not modelled;

(ii)

whether there are issuer’s credit spreads that are not modelled;

(iii)

whether there are equity spot prices and equity repo rates that are not modelled;

(iv)

whether there are commodity spot prices that are not modelled;

(v)

whether there are spot exchange rates that are not modelled;

(vi)

whether there are cases where the implied volatility in instruments with optionality is not modelled;

(c)

where there are risk factors used in the alternative standardised approach that are not included in the internal risk-measurement model, the institution, in addition to providing information on the impact of the exclusion of those risk factors on the profit and loss attribution results as required by Article 325bh(1), point (a), of Regulation (EU) No 575/2013:

(i)

provides an appropriate rationale for not including those risk factors in the internal risk-measurement model and, where such exclusion is due to a lack of representative prices for those risk factors, the rationale for not capturing those risk factors in the calculation of the stress scenario risk measure referred to in Article 325bk of Regulation (EU) No 575/2013, and documents such a rationale;

(ii)

calculates and monitors the impact on the own funds requirements resulting from excluding those risk factors from the internal risk-measurement model.

1. Ħarsa ġenerali

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1.1 Referenzi

1.2 Rekwiżiti identifikati

1.3 Standards relatati

2. Rekwiżiti identifikati

Rekwiżiti

3. Standards relatati

Standards