Regulatory Alerts2023-10-16
ESMA Opinion on CCP Backtesting Requirements under EMIR
The European Securities and Markets Authority issued this opinion to harmonize supervisory practices regarding central counterparty backtesting under EMIR. It distinguishes between core model backtesting for validation and margin adequacy backtesting, mandating that CCPs utilize both unit and portfolio tests rather than relying solely on the latter. The document further specifies that margin add-ons not reflected in historical price data must be excluded from these assessments to ensure accurate model performance evaluation.
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