What changes on 18/02/2024
The text in force from 26/07/2001 compared with the text from 18/02/2024.
35 inserted
0 amended
0 deleted
0 moved
Read the act as of 18/02/2024 · other versions:
Chapter 1
- inserted Article 1 - Development of extreme scenarios of future shock and their application at risk factor level
- inserted Article 2 - Direct method – non-modellable risk factors
- inserted Article 3 - Stepwise method – non-modellable risk factors
- inserted Article 4 - Development and application of the extreme scenarios of future shock at standardised bucket level
- inserted Article 5 - Direct method – non-modellable standardised buckets
- inserted Article 6 - Stepwise method – non-modellable standardised buckets
- inserted Article 7 - Determination of the time series of 10 business days returns
- inserted Article 8 - Downward and upward calibrated shock with the historical method
- inserted Article 9 - Downward and upward calibrated shock with the asymmetrical sigma method
- inserted Article 10 - Downward and upward calibrated shock with the fallback method
- inserted Article 11 - Estimators of the expected shortfall
- inserted Article 12 - Determination of the stress period
- inserted Article 13 - Computation of the losses
Chapter 2
Chapter 3
Chapter 4
- inserted Article 16 - Aggregation of the stress scenario risk measures
- inserted Article 17 - Non-linearity coefficient for a single risk factor
- inserted Article 18 - Non-linearity coefficient for a bucket
- inserted Article 19 - Calculation of the estimate of the tail parameter
- inserted Article 20 - Calculation of the uncertainty compensation factor
Chapter 5
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 Preamble
Chapter 6
- inserted Article 22 - Entry into force