Commission Delegated Regulation (EU) 2024/1085 of 13 March 2024 supplementing Reg... (32024R1085)
Commission Delegated Regulation (EU) 2024/1085 of 13 March 2024 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the assessment methodology under which competent authorities verify an institution’s compliance with the requirements to use internal models for market risk
- COMMISSION DELEGATED REGULATION (EU) 2024/1085
- of 13 March 2024
- supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the assessment methodology under which competent authorities verify an institution’s compliance with the requirements to use internal models for market risk
- (Text with EEA relevance)
- CHAPTER 1
- GENERAL PROVISIONS
- Article 1
- Structure of the assessment
- Article 2
- Proportionality – product categories and model complexities
- Article 3
- Quality and auditability of documentation
- Article 4
- Outsourcing
- CHAPTER 2
- ASSESSMENT OF QUALITATIVE REQUIREMENTS
- Article 5
- Overview of the assessment of qualitative requirements
- Article 6
- Assessment of the adequacy of the composition and role of the management body and senior management
- Article 7
- Assessment of whether trading desks comply with Article 104b of Regulation (EU) No 575/2013
- Article 8
- Assessment of the internal governance and oversight of the institution in relation to the risk control unit
- Article 9
- Assessment of the new product policy
- Article 10
- Independent review of the internal risk-measurement model
- Article 11
- Assessment of the validation of any internal risk measurement models, and of the outcome of such validation
- Article 12
- Assessment of the adequacy of the scope and completeness of the internal validation
- Article 13
- Assessment of the adequacy of reporting
- Article 14
- Assessment of adequacy of trading limits
- Article 15
- Assessment of the adequacy of the process to update trading limits
- Article 16
- Assessment of the adequacy of the process relating to trading limit breaches
- Article 17
- Assessment of the adequacy of the stress testing programme
- Article 18
- Assessment of the adequacy of the reverse and ad-hoc stress testing scenarios
- Article 19
- Assessment of the internal risk-measurement model in relation to the robustness of the IT systems
- Article 20
- Assessment of reasonable accuracy of the internal risk-measurement model, including pricing model
- Article 21
- Assessment of the internal risk-measurement model in relation to additional back-testing programmes
- CHAPTER 3
- ASSESSMENT OF THE INTERNAL RISK-MEASUREMENT MODEL USED TO COMPUTE THE EXPECTED SHORTFALL RISK MEASURE AND THE STRESS SCENARIO RISK MEASURE
- SECTION 1
- Overview of the assessment
- 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
- SECTION 2
- Assessment of the internal risk measurement model’s risk factors set-up and properties
- Subsection 1
- Assessment of the internal risk measurement model’s risk factors set-up
- Article 23
- Assessment of the internal risk-measurement model’s coverage of the risk
- Article 24
- Assessment of general interest rates risk factors
- Article 25
- Assessment of equity risk factors
- Article 26
- Assessment of credit spread risk factors
- Article 27
- Assessment of foreign exchange risk factors
- Article 28
- Assessment of commodity risk factors
- Article 29
- Assessment of curves
- Article 30
- Assessment of implied volatility surfaces
- Article 31
- Assessment of correlation risk factors
- Subsection 2
- Assessment of the risk factors properties
- Article 32
- Assessment of the modellability of risk factors
- Article 33
- Assessment of the risk factors’ liquidity horizon
- SECTION 3
- Assessment of proxies and data quality
- Article 34
- Assessment of proxies
- Article 35
- Assessment of the data quality
- SECTION 4
- Assessment of compliance with requirements relating to the back-testing and profit-loss attribution test
- Article 36
- Assessment of the technical elements to be included in the actual and hypothetical changes in the portfolio’s value for the back-testing requirements
- Article 37
- Assessment of the analysis of overshootings
- Article 38
- Assessment of compliance with the profit and loss attribution requirements
- SECTION 5
- Assessment of compliance with requirements relating to the treatment of foreign-exchange and commodity risk in the non-trading book
- Article 39
- Assessment of the calculation of the own funds requirements for foreign exchange and commodity risk in the non-trading book
- SECTION 6
- Assessment of the calculation of the expected shortfall risk measures and the stress scenario risk measure
- Subsection 1
- Assessment of aspects that are relevant both for the calculation of the expected shortfall risk measures and the stress scenario risk measure
- Article 40
- Assessment of the capability of the internal risk-measurement model to capture non-linearities
- Subsection 2
- Assessment of aspects that are relevant for the calculation of the expected shortfall risk measures
- Article 41
- Assessment of the calculation of the expected shortfall risk measure
- Article 42
- Assessment of the calculation of the partial expected shortfall measures
- Article 43
- Assessment of distributional and statistical assumption
- Subsection 3
- Assessment of aspects that are relevant for the calculation of the stress scenario risk measure
- Article 44
- Assessment of the stress scenario risk measure
- CHAPTER 4
- ASSESSMENT OF THE INTERNAL DEFAULT RISK MODEL USED TO COMPUTE THE ADDITIONAL OWN FUNDS REQUIREMENT FOR DEFAULT RISK
- SECTION 1
- Overview of the assessment
- Article 45
- Assessment of the internal default risk model used to compute the additional own funds requirement for default risk
- SECTION 2
- Assessment of general requirements
- Article 46
- Assessment of the scope of positions subject to default risk
- Article 47
- Assessment of accuracy and frequency of the calculation of the own fund requirement for default risk
- SECTION 3
- Assessment of default probabilities and losses given default estimates
- Article 48
- Assessment of default probabilities
- Article 49
- Assessment of losses given defaults
- SECTION 4
- Assessment of correlation, hedging and particular requirements
- Article 50
- Assessment of the correlation structure
- Article 51
- Assessment of the hedging recognition
- Article 52
- Assessment of compliance with particular requirements
- CHAPTER 5
- FINAL PROVISIONS
- Article 53
- Entry into force and application
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