Introduction to the assessment of the internal risk-measurement model used to compute the expected shortfall measure and the stress scenario risk measure
Article 22
When assessing an institution’s compliance with the requirements applicable to the internal risk-measurement model used to compute the expected shortfall risk measure and the stress scenario risk measure, competent authorities shall assess whether the institution complies with: (a) Section 2 of this Chapter, which contains requirements on risk factors, including the modellability assessment and the mapping to the appropriate liquidity horizon; (b) Section 3 of this Chapter, which contains requirements on data quality and the proxy approaches used in the calculation of: (i) the expected shortfall measure referred to in Article 325bb of Regulation (EU) No 575/2013; (ii) the stress scenario risk measure referred to in Article 325bk of Regulation (EU) No 575/2013; (c) Section 4 of this Chapter, which contains requirements on back-testing and profit and loss attribution; (d) Section 5 of this Chapter, which contains requirements on the treatment of foreign exchange risk and commodity risk in the non-trading book; (e) Section 6 of this Chapter, which contains requirements on the expected shortfall measure and the stress scenario risk measure calculations.