Delegated Regulation 2024/1085

CHAPTER 3 - ASSESSMENT OF THE INTERNAL RISK-MEASUREMENT MODEL USED TO COMPUTE THE EXPECTED SHORTFALL RISK MEASURE AND THE STRESS SCENARIO RISK MEASURE (Article 22-44)

SECTION 1 - Overview of the assessment (Article 22)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 (Article 23-33)

Subsection 1 - Assessment of the internal risk measurement model’s risk factors set-up (Article 23-31)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 32-33)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 34-35)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 36-38)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)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 (Article 40-44)

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)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 41-43)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)Article 44 - Assessment of the stress scenario risk measure

Metadata

EBA webpage on this legal act

Timeline

Delegated Regulation 2024/1085