Contents
Article 12Technical elements to be included in the theoretical changes in the trading desk portfolio’s value#
1.For the purposes of Article 325bg of Regulation (EU) No 575/2013, institutions shall calculate the theoretical changes in a trading desk portfolio value based on a comparison between the portfolio’s end-of-day value and, assuming unchanged positions in the trading desk portfolio, the value of that portfolio at the end of the subsequent day.
2.Institutions shall calculate the theoretical changes in a trading desk portfolio by using the same techniques, including the same pricing methods, model parametrisations and market data as those used in the risk measurement model.
3.Theoretical changes in a trading desk portfolio value shall only include the changes in the value of all risk factors included in the risk-measurement model to which institutions apply the scenarios of future shocks.
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