What changes on 15/11/2022
The text in force from 27/06/2002 compared with the text from 15/11/2022.
33 inserted
0 amended
0 deleted
0 moved
Read the act as of 15/11/2022 · other versions: 28/05/2025
Chapter 1 › Section 1
- inserted 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
- inserted 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
Chapter 1 › Section 2
- inserted 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
- inserted 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
- inserted Article 5 - Documentation requirements
Outside any heading
- inserted Recital 1
- inserted Recital 2
- inserted Recital 3
- inserted Recital 4
- inserted Recital 5
- inserted Recital 6
- inserted Recital 7
- inserted Recital 8
- inserted Recital 9
- inserted Recital 10
- inserted Recital 11
- inserted Recital 12
- inserted Recital 13
- inserted Recital 14
- inserted Recital 15
- inserted Preamble
Chapter 2 › Section 1
- inserted Article 6 - General requirements
- inserted Article 7 - Calculation of the Spearman correlation coefficient
- inserted Article 8 - Calculation of the Kolmogorov-Smirnov test metric
- inserted 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
- inserted Article 10 - Consequences for trading desks that are classified as yellow, orange or red zone desks
- inserted Article 11 - Frequency of the assessment of compliance with the profit and loss attribution requirement
Chapter 2 › Section 2
- inserted Article 12 - Technical elements to be included in the theoretical changes in the trading desk portfolio’s value
- inserted 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
- inserted Article 14 - Alignment of data for the profit and loss attribution requirements
- inserted Article 15 - Documentation requirements