Updated 17/10/2024
In force since 07/07/2024

Initial Legal Act
References (15)
17/06/2024
Delegated Regulation 2024/1085 published in OJ
21/11/2023
EBA/RTS/2023/05
Final Draft published
24/03/2023
EBA/CP/2023/04
Consultation published
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Delegated Regulation 2024/1085

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

Recitals
Article 5 - Overview of the assessment of qualitative requirementsArticle 6 - Assessment of the adequacy of the composition and role of the management body and senior managementArticle 7 - Assessment of whether trading desks comply with Article 104b of Regulation (EU) No 575/2013Article 8 - Assessment of the internal governance and oversight of the institution in relation to the risk control unitArticle 9 - Assessment of the new product policyArticle 10 - Independent review of the internal risk-measurement modelArticle 11 - Assessment of the validation of any internal risk measurement models, and of the outcome of such validationArticle 12 - Assessment of the adequacy of the scope and completeness of the internal validationArticle 13 - Assessment of the adequacy of reportingArticle 14 - Assessment of adequacy of trading limitsArticle 15 - Assessment of the adequacy of the process to update trading limitsArticle 16 - Assessment of the adequacy of the process relating to trading limit breachesArticle 17 - Assessment of the adequacy of the stress testing programmeArticle 18 - Assessment of the adequacy of the reverse and ad-hoc stress testing scenariosArticle 19 - Assessment of the internal risk-measurement model in relation to the robustness of the IT systemsArticle 20 - Assessment of reasonable accuracy of the internal risk-measurement model, including pricing modelArticle 21 - Assessment of the internal risk-measurement model in relation to additional back-testing programmes
Article 23 - Assessment of the internal risk-measurement model’s coverage of the riskArticle 24 - Assessment of general interest rates risk factorsArticle 25 - Assessment of equity risk factorsArticle 26 - Assessment of credit spread risk factorsArticle 27 - Assessment of foreign exchange risk factorsArticle 28 - Assessment of commodity risk factorsArticle 29 - Assessment of curvesArticle 30 - Assessment of implied volatility surfacesArticle 31 - Assessment of correlation risk factors