+Article 31 Assessment of correlation risk factors

Article 31 Assessment of correlation risk factors

Article 31

Assessment of correlation risk factors

When assessing whether an institution’s internal risk-measurement model captures correlation risk as required by Article 325bh(1), point (b), of Regulation (EU) No 575/2013, competent authorities shall verify that, for multi-underlying options and any other products whose end-of-day value is determined via an implied correlation parameter, a risk factor capturing the risk of changes in the correlation parameter is included in the internal risk-measurement model.

The competent authority may identify options and products relying on an implied correlation parameter by using the information reported in accordance with Article 23 of this Regulation, and by identifying those factors that are correlation parameters.

1. Overzicht

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1.1 Referenties

1.2 Geïdentificeerde eisen

1.3 Gerelateerde standaarden

2. Geïdentificeerde eisen

Eisen

3. Gerelateerde standaarden

Standaarden
  • Builddate: 17.06.2024 00:00:00 -Doknr: CELEX:32024R1085
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