+Article 39 8

Article 39 8

8.   For the purposes of paragraph 2, point (d), competent authorities may, on a sample of non-trading book positions and for a reference date for the calculation of the expected shortfall risk measure referred to in Article 325bb of Regulation (EU) No 575/2013 and the stress scenario risk measure referred to in Article 325bk of that Regulation, apply the following assessment method:

(a)

require the institution to provide the list of:

(i)

risk factors used as inputs to determine the fair value constituting the basis for the calculation of the own funds’ requirements as required by Article 4 of Delegated Regulation (EU) 2023/1577;

(ii)

out of the risk factors included in the list referred to in point (a), those risk factors on which the institution applies scenario of future shock when calculating the expected shortfall risk measure referred to in Article 325bb of Regulation (EU) No 575/2013 or extreme scenario of future shock when calculating the stress scenario risk measure referred to in Article 325bk of that Regulation;

(b)

verify whether in the list referred to in point (a)(ii), there are only risk factors reflecting commodity risk, and foreign exchange risk where applicable.

1. Overzicht

,

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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