OpenLegislation

Division 1 Changes in the fundamentals of statistical methods according to Articles 365, 374 or 377 of Regulation (EU) No 575/2013, including but not limited to any of the following:F1

United Kingdom

Original text. Later amendments are not shown.

  1. (a)

    reduction in the number of simulations;

  2. (b)

    introduction or removal of variance reduction methods;

  3. (c)

    changes to the algorithms to generate the random numbers;

  4. (d)

    changes in the statistical method to estimate volatilities or correlations between risk factors;

  5. (e)

    changes in the assumptions about the joint distribution of risk factors.

Annotations

Textual amendments

F1

Inserted by Commission Delegated Regulation (EU) 2015/942 of 4 March 2015 amending Delegated Regulation (EU) No 529/2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council as regards regulatory technical standards for assessing the materiality of extensions and changes of internal approaches when calculating own funds requirements for market risk (Text with EEA relevance).