Article 377 › 2 CRR — REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND…

Article 377 › 2

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

Institutions shall use this internal model to calculate a number which adequately measures all price risks at the 99,9 % confidence interval over a time horizon of one year under the assumption of a constant level of risk, and adjusted where appropriate to reflect the impact of liquidity, concentrations, hedging and optionality. Institutions shall calculate this number at least weekly.

← 1 · All articles · 3 →

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