Article 325bd 4.

For the purpose of calculating the partial expected shortfall measures in accordance with point (c) of Article 325bc(1), the effective liquidity horizon of a given modellable risk factor of a given trading book position or a non-trading book position that is subject to foreign exchange or commodity risk shall be calculated as follows:

▼M8

EffectiveLH =		SubCatLH if Mat > LH5
		min (SubCatLH, minj{LHj/LHj ≥ Mat}) if LH1 ≤ Mat ≤ LH5
		LH1 if Mat < LH1

where:

EffectiveLH

=

the effective liquidity horizon;

Mat

=

the maturity of the trading book position;

SubCatLH

=

the length of liquidity horizon of the modellable risk factor determined in accordance with paragraph 1; and

minj {LHj/LHj ≥ Mat}

=

the length of one of the liquidity horizons listed in Table 1 of Article 325bc which is the nearest liquidity horizon above the maturity of the trading book position.

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
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