Article 16 | Delegated Regulation 2022/2059 | judict

Updated 21/07/2026

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In force

Version from: 28/05/2025

Amendments (1)

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CRR Tool Delegated Regulation 2022/2059

Article 16

Article 16 - Delegated Regulation 2022/2059 [repealed]

This article was repealed by Delegated Regulation 2025/878 on 28/05/2025.
Please select a previous version to display the repealed legal text.

Table of contents

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)

Section 1 - Technical elements to be included in the actual changes in a portfolio’s value (Article 1-2)Article 1 - Technical elements to be included in the actual changes in a trading desk portfolio’s value for the back-testing requirements performed at trading desk level Article 2 - Technical elements to be included in the actual changes in the portfolio’s value for the back-testing requirements performed at institution level

Section 2 - Technical elements to be included in the hypothetical changes in a portfolio’s value requirements (Article 3-5)Article 3 - Technical elements to be included in the hypothetical changes in a trading desk portfolio’s value for the back-testing requirements performed at trading desk level Article 4 - Technical elements to be included in the hypothetical changes in the portfolio’s value for the back-testing requirements performed at institution level Article 5 - Documentation requirements

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 - Calculation of the additional own funds requirement referred to in Article 325bg (2) of Regulation (EU) No 575/2013 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)Article 12 - Technical elements to be included in the theoretical changes in the trading desk portfolio’s value Article 13 - Technical elements to be included in the hypothetical changes in a trading desk portfolio’s value for the profit and loss attribution requirement Article 14 - Alignment of data for the profit and loss attribution requirements Article 15 - Documentation requirements

Section 3 - Own funds requirements calculated in accordance with the alternative internal model approach (Article 16-17)Article 16 - Calculation of the own funds requirements for market risk under the alternative internal model approach for institutions having trading desks [repealed]Article 17 - Entry into force

Article 16 | Delegated Regulation 2022/2059 | judict