Regulatory Alerts2022-06-14
Added · Updated
Commission Delegated Regulation (EU) 2022/2059 on back-testing and profit and loss attribution standards
The European Commission adopted Delegated Regulation (EU) 2022/2059 to specify regulatory technical standards for back-testing and profit and loss attribution under Regulation (EU) No 575/2013. Institutions must calculate actual and hypothetical portfolio value changes using specific techniques, including the inclusion of market risk-related adjustments while excluding credit valuation and own credit risk adjustments. The regulation mandates the use of Spearman correlation and Kolmogorov-Smirnov tests for profit and loss attribution and requires institutions to document their implementation and report additional capital requirements where theoretical and hypothetical changes materially differ.
Topics
Share