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
When assessing an institution’s compliance with the requirements applicable to the internal risk-measurement model used to compute the expected shortfall risk measure and the stress scenario risk measure, competent authorities shall assess whether the institution complies with:
|
(a) |
Section 2 of this Chapter, which contains requirements on risk factors, including the modellability assessment and the mapping to the appropriate liquidity horizon; |
|
(b) |
Section 3 of this Chapter, which contains requirements on data quality and the proxy approaches used in the calculation of:
|
|
(c) |
Section 4 of this Chapter, which contains requirements on back-testing and profit and loss attribution; |
|
(d) |
Section 5 of this Chapter, which contains requirements on the treatment of foreign exchange risk and commodity risk in the non-trading book; |
|
(e) |
Section 6 of this Chapter, which contains requirements on the expected shortfall measure and the stress scenario risk measure calculations. |