(11)Internal-risk measurement models can only considered to be implemented with integrity, as referred to in Article 325bi(1) of Regulation (EU) No 575/2013, where all regulatory requirements are met. In addition, several building blocks of the Basel reforms in the area of market risk have been implemented in Union law by means of delegated acts, inter alia, Commission Delegated Regulation (EU) 2022/2058 3 , Commission Delegated Regulation (EU) 2022/2059 4 , Commission Delegated Regulation (EU) 2022/2060 5 , Commission Delegated Regulation (EU) 2023/1577 6 , Commission Delegated Regulation (EU) 2023/1578 7 and Commission Delegated Regulation (EU) 2024/397 8 . It follows that competent authorities should consider whether institutions comply with the requirements laid down Regulation (EU) No 575/2013, taking into account those delegated acts. To ensure a comprehensive assessment of compliance of market risk internal models, it is necessary to specify techniques for competent authorities to assess institutions’ compliance with aspects covered both by the Regulation (EU) No 575/2013 and by those delegated regulations. For that reason, competent authorities should examine specific documentation that institutions are required to produce.
Recital 11
- 4 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 ( OJ L 276, 26.10.2022, p. 47 , ELI: http://data.europa.eu/eli/reg_del/2022/2059/oj ). ↩
- 8 Commission Delegated Regulation (EU) 2024/397 of 20 October 2023 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the calculation of the stress scenario risk measure ( OJ L, 2024/397, 29.1.2024, ELI: http://data.europa.eu/eli/reg_del/2024/397/oj ). ↩
- 7 Commission Delegated Regulation (EU) 2023/1578 of 20 April 2023 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the requirements for the internal methodology or external sources used under the internal default risk model for estimating default probabilities and losses given default ( OJ L 193, 1.8.2023, p. 7 , http://data.europa.eu/eli/reg_del/2023/1578/oj ). ↩
- 3 Commission Delegated Regulation (EU) 2022/2058 of 28 February 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on liquidity horizons for the alternative internal model approach, as referred to in Article 325bd(7) ( OJ L 276, 26.10.2022, p. 40 , ELI: http://data.europa.eu/eli/reg_del/2022/2058/oj ). ↩
- 5 Commission Delegated Regulation (EU) 2022/2060 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 criteria for assessing the modellability of risk factors under the internal model approach (IMA) and specifying the frequency of that assessment under Article 325be(3) of that Regulation ( OJ L 276, 26.10.2022, p. 60 , ELI: http://data.europa.eu/eli/reg_del/2022/2060/oj ). ↩
- 6 Commission Delegated Regulation (EU) 2023/1577 of 20 April 2023 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the calculation of the own funds requirements for market risk for non-trading book positions subject to foreign exchange risk or commodity risk and the treatment of those positions for the purposes of the regulatory back-testing requirements and the profit and loss attribution requirement under the alternative internal model approach ( OJ L 193, 1.8.2023, p. 1 , ELI: http://data.europa.eu/eli/reg_del/2023/1577/oj ↩