Art. 325bj
Capital Requirements Regulation · 32013R0575 · every event for this act · on EUR-Lex
3 changes recorded across 3 events, newest first.
in force 2023-06-28 INSERTED±0§
Amended by Regulation (EU) 2019/876 32019R0876
applies from: unknown
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in force 2020-12-28 INSERTED§
Amended by Regulation (EU) 2019/876 32019R0876
applies from: unknown
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in force 2019-06-27 INSERTED§
Amended by Regulation (EU) 2019/876 32019R0876
applies from: unknown (an inserted provision states its own application date only in prose)
Sources disagree — the text comparison and the amending act's instructions found this change; the EU's own amendment metadata does not list it. All are shown; none is overruled.
Article 325bj is a new provision requiring institutions to have processes ensuring that internal risk-measurement models used under this Chapter are validated by suitably qualified parties independent of the model's development process, so as to confirm the models are conceptually sound and capture all material risks.
It specifies that such validation must occur both when a model is first developed or significantly changed and periodically, including in response to significant structural market changes or portfolio composition changes, and it sets minimum content for the validation beyond back-testing and P&L attribution, including tests of model assumptions, additional internal back-testing, and use of hypothetical portfolios to check for structural features such as basis risk, concentration risk, or proxy-related risk.
Cited: Art. 325bj, v2
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