Updated 19/05/2024
In force since 18/02/2024

Initial Legal Act
References (3)
eba.europa.eu/regulatory-technical-standards-capitalisation-non-modellable-risk-factors-under-frtb
29/01/2024
Delegated Regulation 2024/397 published in OJ
17/12/2020
EBA/RTS/2020/12
Final Draft published
04/06/2020
EBA/CP/2020/10
Consultation published
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CRR ToolDelegated Regulation 2024/397

Delegated Regulation 2024/397

Commission Delegated Regulation (EU) 2024/397 of 20 October 2023 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards on the calculation of the stress scenario risk measure

Recitals
Article 1 - Development of extreme scenarios of future shock and their application at risk factor levelArticle 2 - Direct method – non-modellable risk factorsArticle 3 - Stepwise method – non-modellable risk factorsArticle 4 - Development and application of the extreme scenarios of future shock at standardised bucket levelArticle 5 - Direct method – non-modellable standardised bucketsArticle 6 - Stepwise method – non-modellable standardised bucketsArticle 7 - Determination of the time series of 10 business days returnsArticle 8 - Downward and upward calibrated shock with the historical methodArticle 9 - Downward and upward calibrated shock with the asymmetrical sigma methodArticle 10 - Downward and upward calibrated shock with the fallback methodArticle 11 - Estimators of the expected shortfallArticle 12 - Determination of the stress periodArticle 13 - Computation of the losses