+Article 11 5.

Article 11 5.

The expert-based approach shall consider all of the following:

(a) 

complexity of products relevant to the model;

(b) 

diversity of possible mathematical approaches and model parameters, where those model parameters are not related to market variables;

(c) 

the degree to which the market for relevant products is ‘one way’;

(d) 

the existence of unhedgeable risks in relevant products;

(e) 

the adequacy of the model in capturing the behaviour of the pay-off of the products in the portfolio.

Institutions shall notify competent authorities of the models for which this approach is applied, and the methodology used to determine the AVA.

1. Visão geral

,

1.1 Referências

1.2 Requisitos identificados

1.3 Normas relacionadas

2. Requisitos identificados

Requisitos

3. Normas relacionadas

Normas