Regulatory Alerts2021-12-13
Added · Updated
Q&A: Investment Firm Application for Permission to Calculate Own Delta
Investment firms must submit a signed request from the Management Board to DNB to obtain permission for calculating their own delta for OTC options or unavailable exchange data under Articles 329(1), 352(1), and 358(3) of the CRR. Applications must include a detailed specification of the model used, its underlying assumptions, inputs, and a comprehensive model validation strategy with critical reviews of results. Firms already holding DNB permission for these calculations are exempt from reapplying when the IFR enters into force.
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