Contents
- 1. For the purposes of the trading desk back-testing referred…
- 2. When calculating the hypothetical changes in the trading d…
- 3. When calculating the hypothetical changes in a trading des…
- 4. Institutions shall calculate the value of an adjustment as…
- 5. In addition to the exclusions laid down in paragraph 3, po…
4.Institutions shall calculate the value of an adjustment as referred to in paragraph 3 on the basis of all the positions assigned to that trading desk. Institutions shall include changes in an adjustment’s value based on a comparison between the end-of-day adjustment’s value and, assuming unchanged positions in the trading desk portfolio, the adjustment’s value at the end of the subsequent day.
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