+Article 325bb 1.
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Article 325bb 1.
Institutions shall calculate the expected shortfall risk measure referred to in point (a) of Article 325ba(1) for any given date ‘t’ and for any given portfolio of trading book positions and non-trading book positions that are subject to foreign exchange or commodity risk as follows:
▼M8
where:
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ESt
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=
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the expected shortfall risk measure;
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i
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=
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the index that denotes the five broad categories of risk factors listed in the first column of Table 2 of Article 325bd;
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UESt
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=
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the unconstrained expected shortfall measure calculated as follows:
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=
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the unconstrained expected shortfall measure for broad risk factor category i and calculated as follows:
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ρ
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=
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the supervisory correlation factor across broad categories of risk; ρ = 50 %;
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=
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the partial expected shortfall measure that shall be calculated for all the positions in the portfolio in accordance with Article 325bc(2);
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=
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the partial expected shortfall measure that shall be calculated for all the positions in the portfolio in accordance with Article 325bc(3);
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=
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the partial expected shortfall measure that shall be calculated for all the positions in the portfolio in accordance with Article 325bc(4);
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=
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the partial expected shortfall measure for broad risk factor category i that shall be calculated for all the positions in the portfolio in accordance with Article 325bc(2);
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=
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the partial expected shortfall measure for broad risk factor category i that shall be calculated for all the positions in the portfolio in accordance with Article 325bc(3); and
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=
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the partial expected shortfall measure for broad risk factor category i that shall be calculated for all the positions in the portfolio in accordance with of Article 325bc(4).
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1. Prezentare generală
1.1 Referințe
1.2 Cerințe identificate
1.3 Standarde asociate
2. Cerințe identificate
3. Standarde asociate
- Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
- EULAW -
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