Article 370 CRR — Requirements for modelling specific risk

Article 370 — Requirements for modelling specific risk

CRR

REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance) · European Union

An internal model used for calculating own funds requirements for specific risk and an internal model for correlation trading shall meet the following additional requirements: (a) it explains the historical price variation in the portfolio; (b) it captures concentration in terms of magnitude and changes of composition of the portfolio; (c) it is robust to an adverse environment; (d) it is validated through back-testing aimed at assessing whether specific risk is being accurately captured. If the institution performs such back-testing on the basis of relevant sub-portfolios, these shall be chosen in a consistent manner; (e) it captures name-related basis risk and shall in particular be sensitive to material idiosyncratic differences between similar but not identical positions; (f) it captures event risk.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04