Commission Delegated Regulation (EU) 2024/397 of 20 October 2023 supplementing Re... (32024R0397)
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
- 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)
- 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
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