Art. 325bn
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
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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.
This is a new article setting out how institutions calculate own funds requirements for default risk using an internal default risk model, covering the value-at-risk measure, the definition of potential loss, the determination of default correlations, and the one-year constant position assumption.
It also specifies that this calculation must be performed at least weekly, and permits a sixty-day time horizon instead of a one-year horizon for default risk of some or all equity positions under stated conditions on correlation calibration.
Cited: Art. 325bn, v2
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