RegAlert2024-03-13
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Commission Delegated Regulation (EU) 2024/1085 on regulatory technical standards for assessing internal models for market risk
The European Commission adopts regulatory technical standards establishing the assessment methodology competent authorities must use to verify institutions' compliance with requirements to use internal models for market risk under Regulation (EU) No 575/2013. The regulation mandates that authorities assess governance, internal risk-measurement models, and internal default risk models, while requiring institutions to perform annual internal validations and direct back-testing of expected shortfall measures. It grants authorities the power to require the removal of specific product positions or refuse permission to use internal models if significant deficiencies or back-to-back booking issues are identified. Compliance with climate change and environmental risk requirements in stress testing is deferred until 1 January 2025, with direct back-testing compliance deferred until 1 January 2026.
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Source: European Commission — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works
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