Criteria for assessing the modellability of risk factors under the IMA for market risk

Topic area:
Status: 02.02.2023 |
Archived
Key words:
Market risk, Supplement
Initiative
Official name
Commission Delegated Regulation (EU) 2022/2060 of 14 June 2022 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the criteria for assessing the modellability of risk factors under the internal model approach (IMA) and specifying the frequency of that assessment under Article 325be(3) of that Regulation
Type
Delegated Regulation
Level 2
Initiator
EU
Submitted
27.06.2019
Doc. code
2022/2060
Summary
Status
Status

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Current version
Final version
14.06.2022
Next step
Entry into force and application
Entry into force

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Application date

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Scope
Relevant for

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Associated initiatives
Level 1
Revision of the CRR (CRR2) - General Part (binding, Amendment, EU)
Level 2
Liquidity horizons for the IMA for market risk (binding, Supplement, EU)
Back-testing requirements and Profit and Loss attribution requirements (binding, Supplement, EU)
Amendment of RTS on FRTB regarding CRR3 (binding, Amendment, EU)
Level 3 / Other
Revisions to the minimum capital requirements for market risk (non-binding, INT)
Criteria for the use of data inputs in the expected shortfall risk measure (binding, EU)

Source: EU, 2022/2060, 2022