+Article 22 Introduction to the assessment of the internal risk-measurement model used to compute the expected shortfall measure and the stress scenario risk measure
---+Article 22 (a)
---+Article 22 (b)
---+Article 22 (c)
---+Article 22 (d)
---+Article 22 (e)

Article 22 Introduction to the assessment of the internal risk-measurement model used to compute the expected shortfall measure and the stress scenario risk measure

When assessing an institution’s compliance with the requirements applicable to the internal risk-measurement model used to compute the expected shortfall risk measure and the stress scenario risk measure, competent authorities shall assess whether the institution complies with:

1. Översikt

,
Article 22 (a)

Section 2 of this Chapter, which contains requirements on risk factors, including the modellability assessment and the mapping to the appropriate liquidity horizon;
Article 22 (b)

Section 3 of this Chapter, which contains requirements on data quality and the proxy approaches used in the calculation of:

(i)

the expected shortfall measure referred to in Article 325bb of Regulation (EU) No 575/2013;

(ii)

the stress scenario risk measure referred to in Article 325bk of Regulation (EU) No 575/2013;
Article 22 (c)

Section 4 of this Chapter, which contains requirements on back-testing and profit and loss attribution;
Article 22 (d)

Section 5 of this Chapter, which contains requirements on the treatment of foreign exchange risk and commodity risk in the non-trading book;
Article 22 (e)

Section 6 of this Chapter, which contains requirements on the expected shortfall measure and the stress scenario risk measure calculations.

1.1 Referenser

1.2 Identifierade krav

1.3 Relaterade standarder

2. Identifierade krav

Krav

3. Relaterade standarder

Standarder