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Commission Delegated Regulation (EU) 2024/1085

Preamble
Recitals 19
Chapter 1 - GENERAL PROVISIONS (Article 1-4) 4
Chapter 2 - ASSESSMENT OF QUALITATIVE REQUIREMENTS (Article 5-21) 17
Chapter 3 - ASSESSMENT OF THE INTERNAL RISK-MEASUREMENT MODEL USED TO COMPUTE THE EXPECTED SHORTFALL RISK MEASURE AND THE STRESS SCENARIO RISK MEASURE (Article 22-44) 23
- Section 1 - Overview of the assessment (Article 22) 1
  - 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
- Section 2 - Assessment of the internal risk measurement model’s risk factors set-up and properties (Article 23-33) 11
- Section 3 - Assessment of proxies and data quality (Article 34-35) 2
- Section 4 - Assessment of compliance with requirements relating to the back-testing and profit-loss attribution test (Article 36-38) 3
- Section 5 - Assessment of compliance with requirements relating to the treatment of foreign-exchange and commodity risk in the non-trading book (Article 39) 1
- Section 6 - Assessment of the calculation of the expected shortfall risk measures and the stress scenario risk measure (Article 40-44) 5
Chapter 4 - ASSESSMENT OF THE INTERNAL DEFAULT RISK MODEL USED TO COMPUTE THE ADDITIONAL OWN FUNDS REQUIREMENT FOR DEFAULT RISK (Article 45-52) 8
Chapter 5 - FINAL PROVISIONS (Article 53) 1

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

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:

((i))

the expected shortfall measure referred to in Article 325bb of Regulation (EU) No 575/2013;

((ii))

the stress scenario risk measure referred to in Article 325bk of Regulation (EU) No 575/2013;

((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.

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