Regulatory Alerts2023-10-20
Added · Updated
Commission Delegated Regulation (EU) 2024/397 on regulatory technical standards for calculating the stress scenario risk measure
The European Commission adopted Delegated Regulation (EU) 2024/397 to establish regulatory technical standards for calculating the stress scenario risk measure for non-modellable risk factors under Regulation (EU) No 575/2013. Institutions must apply either a direct method or a stepwise method to determine extreme scenarios of future shock, with the choice governed by data availability thresholds of 200 or 12 observations. The regulation specifies detailed calculation procedures, including the use of historical, asymmetrical sigma, and fallback methods, and mandates a stress period starting at least from 1 January 2007. These requirements apply to credit institutions and investment firms subject to market risk own funds requirements.