Commission Delegated Regulation (EU) 2024/1085 CHAPTER 3 — ASSESSMENT OF THE INTERNAL RISK-MEASUREMENT MODEL USED TO COMPUTE THE EXPECTED SHORTFALL RISK MEASURE AND THE STRESS SCENARIO RISK MEASURE
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SECTION 1 — Overview of the assessment
SECTION 2 — Assessment of the internal risk measurement model’s risk factors set-up and properties
SECTION 3 — Assessment of proxies and data quality
SECTION 4 — Assessment of compliance with requirements relating to the back-testing and profit-loss attribution test
SECTION 5 — Assessment of compliance with requirements relating to the treatment of 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
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