Contents
2.For the purposes of Article 325bg of Regulation (EU) No 575/2013, institutions may replace the value of a risk factor used in the calculation of the theoretical changes in the trading desk portfolio’s value with the value of the same risk factor used in the calculation of the hypothetical changes in the trading desk portfolio’s value where all of the following conditions are met:
(a)the risk factor used in the calculation of the hypothetical changes in the trading desk portfolio’s value does not directly correspond to the input data;
(b)the risk factor has been derived from the input data using techniques of the valuation systems used for the hypothetical changes in the trading desk portfolio’s value;
(c)none of the techniques of the valuation systems referred to in point (b) have been rebuilt in the valuation systems used in the risk measurement model in order to derive the value of the risk factor which is used in the calculation of the theoretical changes in the trading desk portfolio’s value.
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