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art_1__point_90__table__35

Text with EEA relevance.
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (Text with EEA relevance.) · European Union

ESt | = | the expected shortfall risk measure; i | = | the index that denotes the five broad categories of risk factors listed in the first column of Table 2 of Article 325bd; UESt | = | the unconstrained expected shortfall measure calculated as follows: | = | the unconstrained expected shortfall measure for broad risk factor category i and calculated as follows: ρ = the supervisory correlation factor across broad categories of risk; ρ = 50 %; = the partial expected shortfall measure that shall be calculated for all the positions in the portfolio in accordance with Article 325bc(2); = the partial expected shortfall measure that shall be calculated for all the positions in the portfolio in accordance with Article 325bc(3); = the partial expected shortfall measure that shall be calculated for all the positions in the portfolio in accordance with Article 325bc(4); | = | the partial expected shortfall measure for broad risk factor category i that shall be calculated for all the positions in the portfolio in accordance with Article 325bc(2); | = | the partial expected shortfall measure for broad risk factor category i that shall be calculated for all the positions in the portfolio in accordance with Article 325bc(3); and | = | the partial expected shortfall measure for broad risk factor category i that shall be calculated for all the positions in the portfolio in accordance with of Article 325bc(4).

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Source: EUR-Lex (Cellar) · retrieved 2026-10-12 · Text as adopted (Official Journal); later amendments are not incorporated in this text.