European Commission 13 March 2024, Commission Delegated Regulation (EU) 2024/1085 of 13 March 2024 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the assessment methodology under which competent authorities verify an institution’s compliance with the requirements to use internal models for market risk

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European Union · · · Cited by 5 · 13-03-2024

CHAPTER 1. GENERAL PROVISIONS
Article 1. Structure of the assessment
Article 2. Proportionality – product categories and model complexities
Article 3. Quality and auditability of documentation
Article 4. Outsourcing
CHAPTER 2. ASSESSMENT OF QUALITATIVE REQUIREMENTS
Article 5. Overview of the assessment of qualitative requirements
Article 6. Assessment of the adequacy of the composition and role of the management body and senior management
Article 7. Assessment of whether trading desks comply with Article 104b of Regulation (EU) No 575/2013
Article 8. Assessment of the internal governance and oversight of the institution in relation to the risk control unit
Article 9. Assessment of the new product policy
Article 10. Independent review of the internal risk-measurement model
Article 11. Assessment of the validation of any internal risk measurement models, and of the outcome of such validation
Article 12. Assessment of the adequacy of the scope and completeness of the internal validation
Article 13. Assessment of the adequacy of reporting
Article 14. Assessment of adequacy of trading limits
Article 15. Assessment of the adequacy of the process to update trading limits
Article 16. Assessment of the adequacy of the process relating to trading limit breaches
Article 17. Assessment of the adequacy of the stress testing programme
Article 18. Assessment of the adequacy of the reverse and ad-hoc stress testing scenarios
Article 19. Assessment of the internal risk-measurement model in relation to the robustness of the IT systems
Article 20. Assessment of reasonable accuracy of the internal risk-measurement model, including pricing model
Article 21. Assessment of the internal risk-measurement model in relation to additional back-testing programmes
CHAPTER 3. ASSESSMENT OF THE INTERNAL RISK-MEASUREMENT MODEL USED TO COMPUTE THE EXPECTED SHORTFALL RISK MEASURE AND THE STRESS SCENARIO RISK MEASURE
SECTION 1. Overview of the assessment
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
Subsection 1. Assessment of the internal risk measurement model’s risk factors set-up
Article 23. Assessment of the internal risk-measurement model’s coverage of the risk
Article 24. Assessment of general interest rates risk factors
Article 25. Assessment of equity risk factors
Article 26. Assessment of credit spread risk factors
Article 27. Assessment of foreign exchange risk factors
Article 28. Assessment of commodity risk factors
Article 29. Assessment of curves
Article 30. Assessment of implied volatility surfaces
Article 31. Assessment of correlation risk factors
Subsection 2. Assessment of the risk factors properties
Article 32. Assessment of the modellability of risk factors
Article 33. Assessment of the risk factors’ liquidity horizon
SECTION 3. Assessment of proxies and data quality
Article 34. Assessment of proxies
Article 35. Assessment of the data quality
SECTION 4. Assessment of compliance with requirements relating to the back-testing and profit-loss attribution test
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
Article 37. Assessment of the analysis of overshootings
Article 38. Assessment of compliance with the profit and loss attribution requirements
SECTION 5. Assessment of compliance with requirements relating to the treatment of foreign-exchange and commodity risk in the non-trading book
Article 39. Assessment of the calculation of the own funds requirements for foreign exchange and commodity risk in the non-trading book
SECTION 6. Assessment of the calculation of the expected shortfall risk measures and the stress scenario risk measure
Subsection 1. Assessment of aspects that are relevant both for the calculation of the expected shortfall risk measures and the stress scenario risk measure
Article 40. Assessment of the capability of the internal risk-measurement model to capture non-linearities
Subsection 2. Assessment of aspects that are relevant for the calculation of the expected shortfall risk measures
Article 41. Assessment of the calculation of the expected shortfall risk measure
Article 42. Assessment of the calculation of the partial expected shortfall measures
Article 43. Assessment of distributional and statistical assumption
Subsection 3. Assessment of aspects that are relevant for the calculation of the stress scenario risk measure
Article 44. Assessment of the stress scenario risk measure
CHAPTER 4. ASSESSMENT OF THE INTERNAL DEFAULT RISK MODEL USED TO COMPUTE THE ADDITIONAL OWN FUNDS REQUIREMENT FOR DEFAULT RISK
SECTION 1. Overview of the assessment
Article 45. Assessment of the internal default risk model used to compute the additional own funds requirement for default risk
SECTION 2. Assessment of general requirements
Article 46. Assessment of the scope of positions subject to default risk
Article 47. Assessment of accuracy and frequency of the calculation of the own fund requirement for default risk
SECTION 3. Assessment of default probabilities and losses given default estimates
Article 48. Assessment of default probabilities
Article 49. Assessment of losses given defaults
SECTION 4. Assessment of correlation, hedging and particular requirements
Article 50. Assessment of the correlation structure
Article 51. Assessment of the hedging recognition
Article 52. Assessment of compliance with particular requirements
CHAPTER 5. FINAL PROVISIONS
Article 53. Entry into force and application

Official Journal
of the European Union

L series

2024/1085

17.6.2024

COMMISSION DELEGATED REGULATION (EU) 2024/1085

of 13 March 2024

supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the assessment methodology under which competent authorities verify an institution’s compliance

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