Version status: Amended | Document consolidation status: Updated to reflect all known changes
Version date: 27 June 2019 - onwards
  Version 5 of 5    

Article 455 Use of internal market risk models

Institutions calculating their capital requirements in accordance with Article 363 shall disclose the following information:

(a) for each sub-portfolio covered:

(i) the characteristics of the models used;

(ii)where applicable, for the internal models for incremental default and migration risk and for correlation trading, the methodologies used and the risks measured through the use of an internal model including a description of the approach used by the institution to determine liquidity horizons, the methodologies used to achieve a capital assessment that is consistent with the required soundness standard and the approaches used in the validation of the model;

(iii) a description of stress testing applied to the sub-portfolio;

(iv) a description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes;

(b) the scope of permission by the competent authority;

(c) a description of the extent and methodologies for c