Contents
- 1. For the purposes of the back-testing referred to in Articl…
- 2. When calculating the actual changes in a portfolio’s value…
- 3. When calculating the actual changes in a portfolio’s value…
- 4. Institutions shall calculate the change in the value of th…
- 5. Institutions shall include changes in the adjustment’s val…
1.For the purposes of the back-testing referred to in Article 325bf(6) of Regulation (EU) No 575/2013, institutions shall calculate the actual changes in a portfolio’s value by using the same techniques, including the same pricing methods, model parametrisations and market data, as those used in the end-of-day valuation process, including the results of the independent price verification referred to in Article 105(8) of Regulation (EU) No 575/2013.
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