What changes on 07/07/2024
The text in force from 01/06/2016 compared with the text from 07/07/2024.
73 inserted
0 amended
0 deleted
0 moved
Read the act as of 07/07/2024 · other versions:
Chapter 1
- inserted Article 1 - Structure of the assessment
- inserted Article 2 - Proportionality – product categories and model complexities
- inserted Article 3 - Quality and auditability of documentation
- inserted Article 4 - Outsourcing
Chapter 2
- inserted Article 5 - Overview of the assessment of qualitative requirements
- inserted Article 6 - Assessment of the adequacy of the composition and role of the management body and senior management
- inserted Article 7 - Assessment of whether trading desks comply with Article 104b of Regulation (EU) No 575/2013
- inserted Article 8 - Assessment of the internal governance and oversight of the institution in relation to the risk control unit
- inserted Article 9 - Assessment of the new product policy
- inserted Article 10 - Independent review of the internal risk-measurement model
- inserted Article 11 - Assessment of the validation of any internal risk measurement models, and of the outcome of such validation
- inserted Article 12 - Assessment of the adequacy of the scope and completeness of the internal validation
- inserted Article 13 - Assessment of the adequacy of reporting
- inserted Article 14 - Assessment of adequacy of trading limits
- inserted Article 15 - Assessment of the adequacy of the process to update trading limits
- inserted Article 16 - Assessment of the adequacy of the process relating to trading limit breaches
- inserted Article 17 - Assessment of the adequacy of the stress testing programme
- inserted Article 18 - Assessment of the adequacy of the reverse and ad-hoc stress testing scenarios
- inserted Article 19 - Assessment of the internal risk-measurement model in relation to the robustness of the IT systems
- inserted Article 20 - Assessment of reasonable accuracy of the internal risk-measurement model, including pricing model
- inserted Article 21 - Assessment of the internal risk-measurement model in relation to additional back-testing programmes
Chapter 3 › Section 1
Chapter 3 › Section 2 › Subsection 1
- inserted Article 23 - Assessment of the internal risk-measurement model’s coverage of the risk
- inserted Article 24 - Assessment of general interest rates risk factors
- inserted Article 25 - Assessment of equity risk factors
- inserted Article 26 - Assessment of credit spread risk factors
- inserted Article 27 - Assessment of foreign exchange risk factors
- inserted Article 28 - Assessment of commodity risk factors
- inserted Article 29 - Assessment of curves
- inserted Article 30 - Assessment of implied volatility surfaces
- inserted Article 31 - Assessment of correlation risk factors
Chapter 3 › Section 2 › Subsection 2
- inserted Article 32 - Assessment of the modellability of risk factors
- inserted Article 33 - Assessment of the risk factors’ liquidity horizon
Chapter 3 › Section 3
Chapter 3 › Section 4
- inserted Article 36 - Assessment of the technical elements to be included in the actual and hypothetical changes in the portfolio’s value for the back-testing requirements
- inserted Article 37 - Assessment of the analysis of overshootings
- inserted Article 38 - Assessment of compliance with the profit and loss attribution requirements
Chapter 3 › Section 5
Chapter 3 › Section 6 › Subsection 1
Chapter 3 › Section 6 › Subsection 2
- inserted Article 41 - Assessment of the calculation of the expected shortfall risk measure
- inserted Article 42 - Assessment of the calculation of the partial expected shortfall measures
- inserted Article 43 - Assessment of distributional and statistical assumption
Chapter 3 › Section 6 › Subsection 3
Chapter 4 › Section 1
Chapter 4 › Section 2
- inserted Article 46 - Assessment of the scope of positions subject to default risk
- inserted Article 47 - Assessment of accuracy and frequency of the calculation of the own fund requirement for default risk
Chapter 4 › Section 3
- inserted Article 48 - Assessment of default probabilities
- inserted Article 49 - Assessment of losses given defaults
Chapter 4 › Section 4
- inserted Article 50 - Assessment of the correlation structure
- inserted Article 51 - Assessment of the hedging recognition
- inserted Article 52 - Assessment of compliance with particular 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 Recital 16
- inserted Recital 17
- inserted Recital 18
- inserted Recital 19
- inserted Preamble