Art. 325bc · Partial expected shortfall calculations

Previous version, in force 9 January 2024 02013R0575-20240109 → this version, in force 9 July 2024 02013R0575-20240709

Article 325bc Partial expected shortfall calculations 1. Institutions shall calculate all the partial expected shortfall measures referred to in Article 325bb(1) as follows: (a) daily calculations of the partial expected shortfall measures; (b) at 97,5th percentile, one tailed confidence interval; (c) for a given portfolio … 976 unchanged words … Article 325bb(1), institutions shall maintain the values of the modellable risks factors for which they have not been required to apply scenarios of future shocks for that partial expected shortfall measure under paragraphs 2, 3 and 4 of this Article.6. EBA shall develop draft regulatory technical standards to specify the criteria for the use of data inputs in the risk-measurement model referred to in this Article, including criteria on data accuracy and criteria on the calibration of the data inputs where market data are insufficient. EBA shall submit those draft regulatory technical standards to the Commission by 10 January 2026. Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph of this paragraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.