(1) A responsible person shall conduct a back-testing programme for the UCITS for the purpose of monitoring the accuracy and performance of its VaR approach.
(2) The back-testing programme to which paragraph (1) refers shall provide, for each business day, a comparison of -
(a) the one-day VaR measure generated by the UCITS model for the UCITS end-of-day positions, and
(b) the one-day change of the UCITS portfolio value by the end of the subsequent business day.
(3) The back-testing programme to which paragraph (1) refers shall be conducted at least on a monthly basis, subject to always performing retroactively the comparison for each business day as detailed in paragraph (2).
(4) A responsible person shall determine and monitor any overshooting of a UCITS on the basis of its back-testing programme.
(5) Where the results of the back-testing programme undertaken by virtue of this Regulation reveal a percentage of overshootings that exceeds 4 for the most recent 250 business days in the
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