European Commission 20 October 2023, 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

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European Union · · · Cited by 10 · 20-10-2023

CHAPTER 1. DEVELOPMENT AND APPLICATION OF THE EXTREME SCENARIOS OF FUTURE SHOCK
Article 1. Development of extreme scenarios of future shock and their application at risk factor level
Article 2. Direct method – non-modellable risk factors
Article 3. Stepwise method – non-modellable risk factors
Article 4. Development and application of the extreme scenarios of future shock at standardised bucket level
Article 5. Direct method – non-modellable standardised buckets
Article 6. Stepwise method – non-modellable standardised buckets
Article 7. Determination of the time series of 10 business days returns
Article 8. Downward and upward calibrated shock with the historical method
Article 9. Downward and upward calibrated shock with the asymmetrical sigma method
Article 10. Downward and upward calibrated shock with the fallback method
Article 11. Estimators of the expected shortfall
Article 12. Determination of the stress period
Article 13. Computation of the losses
CHAPTER 2. REGULATORY EXTREME SCENARIO OF FUTURE SHOCK
Article 14. Determination of the regulatory extreme scenario of future shock
CHAPTER 3. CIRCUMSTANCES UNDER WHICH INSTITUTIONS MAY CALCULATE A STRESS SCENARIO RISK MEASURE FOR MORE THAN ONE NON-MODELLABLE RISK FACTOR
Article 15. Circumstances for the calculation of a stress scenario risk measure for more than one non-modellable risk factor
CHAPTER 4. AGGREGATION OF THE STRESS SCENARIO RISK MEASURES
Article 16. Aggregation of the stress scenario risk measures
Article 17. Non-linearity coefficient for a single risk factor
Article 18. Non-linearity coefficient for a bucket
Article 19. Calculation of the estimate of the tail parameter
Article 20. Calculation of the uncertainty compensation factor
CHAPTER 5. QUALITATIVE REQUIREMENTS
Article 21. Documentation of the criteria and methods
CHAPTER 6. FINAL PROVISIONS
Article 22. Entry into force

Official Journal
of the European Union

Series L

2024/397

29.1.2024

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

(Text with EEA relevance)

THE EUROPEAN

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