EBU Single Rulebook Q&A 19 September 2019 2019_4924 C 32.02 - Prudent Valuation: Core approach (PRUVAL 2); column 0160 (IPV Difference) and C 32.03 - Prudent Valuation: Model Risk AVA (PRUVAL 3); column 0110 (IPV Difference Output Testing)) and C 32.04 - Prudent Valuation: Concentrated Positions AVA (PRUVAL 4); column 0100 (IPV Difference)
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European Union · · · 30-04-2021
What sign convention is expected for “IPV Difference” amounts in templates C32.02 (column 0160), C32.03 (column 0110) and C32.04 (column 0100)? Should validation rule v6341_m ({r0020} <= {r0010}, i.e. o/w Trading Book <= Total Core Approach) be modified to evaluate the absolute values in the equation?
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