anx_V__point_4__text_1

Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firms and credit institutions (recast) · European Union

The institution shall monitor the accuracy and performance of its model by conducting a back‐testing programme. The back‐testing has to provide for each business day a comparison of the one‐day value‐at‐risk measure generated by the institution's model for the portfolio's end‐of‐day positions to the one‐day change of the portfolio's value by the end of the subsequent business day.

← 4. · All articles · anx_V__point_4__text_2 →

Source: EUR-Lex (Cellar) · retrieved 2026-10-10 · Text as adopted (Official Journal); later amendments are not incorporated in this text.