+Article 40 2

Article 40 2

2.   For the purposes of paragraph 1, competent authorities may apply the following steps in the following order:

(a)

identify products for which competent authorities want to test the materiality of the order terms of a Taylor series approximation, and the appropriateness of the sensitivity-based approach under severe shock;

(b)

identify a business day in the stress period where the returns observed for the risk factors in those products were particularly high, where positive, or particularly low, where negative;

(c)

require the institution to calculate the hypothetical and theoretical changes in the values of those products in accordance with Delegated Regulation (EU) 2022/2059, under the scenario identified by the returns on the business day identified in accordance with point (b);

(d)

based on the results of the calculation referred to in point (c), assess whether the sensitivity-based approach leads to appropriate results.

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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