+Article 325bf 4.

Article 325bf 4.

Institutions shall count daily overshootings in accordance with the following:

(a) 

the back-testing of hypothetical changes in the value of the portfolio shall be based on a comparison between the end-of-day value of the portfolio and, assuming unchanged positions, the value of the portfolio at the end of the subsequent day;

(b) 

the back-testing of actual changes in the value of the portfolio shall be based on a comparison between the end-of-day value of the portfolio and its actual value at the end of the subsequent day, excluding fees and commissions;

(c) 

an overshooting shall be counted for each business day for which the institution is not able to assess the value of the portfolio or is not able to calculate the value-at-risk number referred to in paragraph 3.

1. Prezentare generală

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1.1 Referințe

1.2 Cerințe identificate

1.3 Standarde asociate

2. Cerințe identificate

Cerințe

3. Standarde asociate

Standarde