Version status: Inserted | Document consolidation status: Updated to reflect all known changes
Version date: 27 June 2019 - onwards
    Version 1 of 1    

Article 325ba Own funds requirements when using alternative internal models

1. An institution using an alternative internal model shall calculate the own funds requirements for the portfolio of all positions assigned to the trading desks for which the institution has been granted permission as referred to in Article 325az(2)) as the higher of the following:

(a) the sum of the following values:

(i) the institution's previous day's expected shortfall risk measure, calculated in accordance with Article 325bb (ESt-1), and

(ii) the institution's previous day's stress scenario risk measure, calculated in accordance with Section 5 (SSt-1); or

(b) the sum of the following values:

(i) the average of the institution's daily expected shortfall risk measure, calculated in accordance with Article 325bb for each of the preceding sixty business days (ESavg), multiplied by the multiplication factor (mc); and

(ii) the average of the institution's daily stress scenario risk measure, calculated in accordance with Section 5 for each of the preceding sixty business days (SSavg).

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