Commission Delegated Regulation (EU) 2022/2059 of 14 June 2022 supplementing Regu... (32022R2059)
INHALT
Commission Delegated Regulation (EU) 2022/2059 of 14 June 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the technical details of back-testing and profit and loss attribution requirements under Articles 325bf and 325bg of Regulation (EU) No 575/2013 (Text with EEA relevance)
- COMMISSION DELEGATED REGULATION (EU) 2022/2059
- of 14 June 2022
- supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the technical details of back-testing and profit and loss attribution requirements under Articles 325bf and 325bg of Regulation (EU) No 575/2013
- (Text with EEA relevance)
- CHAPTER 1
- 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
- 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
- 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
- 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
- Article 16
- Calculation of the own funds requirements for market risk under the alternative internal model approach for institutions having trading desks
- Article 17
- Entry into force
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