Article 11 | Delegated Regulation 2022/2059

CHAPTER 1 - TECHNICAL ELEMENTS TO BE INCLUDED IN THE ACTUAL AND HYPOTHETICAL CHANGES IN A PORTFOLIO’S VALUE FOR THE PURPOSES OF THE BACK-TESTING REQUIREMENTS (Article 1-5)

CHAPTER 2 - TECHNICAL SPECIFICATION OF THE PROFIT AND LOSS ATTRIBUTION REQUIREMENT (Article 6-17)

Section 1 - Criteria necessary to ensure that the theoretical changes and the hypothetical changes in the value of a trading desk portfolio are sufficiently close and consequences for trading desks that do not meet that condition (Article 6-11)Article 6 - General requirements Article 7 - Calculation of the Spearman correlation coefficient Article 8 - Calculation of the Kolmogorov-Smirnov test metric Article 9 - Specification of criteria necessary to ensure that the theoretical changes and the hypothetical changes in the value of a trading desk portfolio are sufficiently close Article 10 - Consequences for trading desks that are classified as yellow, orange or red zone desks Article 11 - Frequency of the assessment of compliance with the profit and loss attribution requirement

Section 2 - Technical elements to be included in the theoretical and hypothetical changes in a trading desk portfolio’s value for the purposes of the profit and loss attribution requirement (Article 12-15)

Section 3 - Own funds requirements calculated in accordance with the alternative internal model approach (Article 16-17)

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Article 11 - Frequency of the assessment of compliance with the profit and loss attribution requirement

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