direct ec european parliament council june amend council direct eec capit adequaci invest firm credit institut european parliament council european union regard treati establish european commun sentenc articl thereof regard propos commiss regard opinion econom social committe regard opinion european monetari institut act accord procedur laid articl treati risk commod trade commod deriv subject council direct eec decemb solvenc ratio credit institut market risk posit captur accur direct eec extend concept trade book posit commod commod deriv held trade purpos subject market risk institut compli direct coverag commod risk busi perpetr fraud commod futur trader grow concern commun threat imag integr futur trade busi desir commiss defin prudenti framework order prevent fraudul practic futur council direct eec march capit adequaci invest firm credit institut lai standardis method calcul capit requir market risk incur invest firm credit institut institut develop risk manag system intern model design measur accur standardis method market risk incur invest firm credit institut accur method measur risk encourag intern model purpos calcul capit requir requir strict intern control mechan subject recognit supervis compet author continu reliabl result intern model calcul verifi back test procedur compet author margin requir exchang trade futur option transit basi clear counter deriv natur substitut capit requir calcul instrument accord direct provid lead capit requir lower capit requir calcul method prescrib direct applic principl requir equival margin requir capit requir calcul method prescrib direct continu verifi institut appli principl rule adopt wider intern level order encourag sophist risk manag method base intern model lower capit requir credit institut countri credit institut compet invest firm credit institut incorpor member state invest firm credit institut incorpor member state amend direct eec provid similar incent develop intern model purpos calcul market risk capit requir posit gold gold deriv treat similar fashion foreign exchang posit issu subordin debt automat exclud issuer equiti includ portfolio qualifi specif risk weight point annex direct eec direct accord work intern forum bank supervisor supervisori treatment market risk posit commod commod deriv transit capit regim option basi invest firm credit institut undertak signific commod busi diversifi commod portfolio model purpos calcul commod risk capit requir order ensur harmoni applic direct direct mean attain object sought achiev object adopt direct articl direct eec amend articl amend point introductori phrase subpoint ii point replac proprietari posit financi instrument commod commod deriv held resal institut intent benefit short term actual expect differ bui sell price price interest rate variat posit financi instrument commod commod deriv aris match princip broke posit order hedg element trade book exposur due unsettl transact free deliveri counter otc deriv instrument refer paragraph annex ii exposur due repurchas agreement secur commod lend base secur commod includ trade book defin refer paragraph annex ii exposur due revers repurchas agreement secur borrow commod borrow transact paragraph provid compet author approv meet condit ii iii condit iv exposur mark market daili procedur laid annex ii ii collater adjust order account materi secur commod involv agreement transact question rule accept compet author point replac quot warrant quot secur holder purchas underli stipul price warrant expiri date settl deliveri underli cash settlement quot stock financ quot posit physic stock sold forward cost fund lock date forward sale point paragraph replac quot repurchas agreement quot quot revers repurchas agreement quot agreement institut counter parti transfer secur commod guarante right relat titl secur commod guarante issu recognis exchang hold right secur commod agreement institut transfer pledg secur commod counter parti time subject commit repurchas substitut secur commod descript price futur date transferor repurchas agreement institut sell secur commod revers repurchas agreement institut bui point replac quot secur commod lend quot quot secur commod borrow quot transact institut counter parti transfer secur commod collater subject commit borrow return equival secur commod futur date request transferor transact secur commod lend institut transfer secur commod secur commod borrow institut transfer secur commod borrow consid interprofession transact counter parti subject prudenti coordin commun level zone credit institut defin direct eec recognis countri invest firm transact conclud recognis clear hous exchang articl subparagraph point ii replac capit requir calcul accord annex ii vi annex viii trade book busi ii capit requir calcul accord annex iii vii annex viii busi activ articl replac notwithstand paragraph institut calcul capit requir trade book busi accord annex ii annex viii monitor control larg exposur accord direct eec subject modif laid annex vi direct articl introductori part articl replac right waiver provid paragraph exercis compet author purpos calcul capit requir set annex viii exposur client set annex vi consolid basi permit posit trade book institut offset posit trade book institut rule set annex vi viii addit foreign exchang posit institut offset foreign exchang posit institut accord rule set annex iii annex viii commod posit institut offset commod posit institut accord rule set annex vii annex viii compet author permit offset trade book foreign exchang commod posit undertak locat countri subject simultan fulfil condit articl replac compet author oblig institut report immedi case counter parti repurchas revers repurchas agreement secur commod lend secur commod borrow transact default oblig commiss report council case implic treatment agreement transact direct year date refer articl report describ institut meet condit articl appli condit give detail rel volum institut tradit lend lend revers repurchas agreement secur borrow commod borrow transact commiss conclud basi report inform safeguard need prevent abus make propos articl insert articl decemb member state authoris institut minimum spread carri outright rate set tabl paragraph annex vii provid institut opinion compet author undertak signific commod busi ii diversifi commod portfolio iii posit intern model purpos calcul capit requir commod risk accord annex viii gt tabl gt member state inform commiss make articl annex ii iii amend annex vii viii ad accord annex direct articl member state bring forc law regul administr provis compli direct month date entri forc forthwith inform commiss thereof member state adopt measur refer direct accompani refer occas offici public method make refer laid member state member state commun commiss text main provis domest law adopt field govern direct articl direct enter forc dai public offici journal european commun articl direct address member state luxembourg june european parliament presid gil robl council presid cunningham oj oj oj opinion deliv octob opinion european parliament decemb oj council common posit march oj decis european parliament april oj council decis oj direct amend direct ec european parliament council page offici journal oj direct amend direct ec european parliament council page offici journal annex annex amend paragraph sentenc delet subparagraph ad compet author capit requir exchang trade futur equal margin requir exchang fulli satisfi accur measur risk futur equal capit requir futur result calcul made method set remaind annex appli intern model method annex viii decemb compet author capit requir otc deriv contract type refer paragraph clear clear hous recognis equal margin requir clear hous fulli satisfi accur measur risk deriv contract equal capit requir contract question result calcul made method set remaind annex appli intern model method annex viii paragraph subparagraph replac compet author requir risk delta risk option safeguard compet author requir written exchang trade option equal margin requir exchang fulli satisfi accur measur risk option equal capit requir option result calcul made method set remaind annex appli intern model method annex viii decemb compet author capit requir otc option clear clear hous recognis equal margin requir clear hous fulli satisfi accur measur risk option equal capit requir otc option result calcul made method set remaind annex appli intern model method annex viii addit requir bought exchang trade otc option instrument underli subject constraint result requir exce market option requir written otc option set relat instrument underli paragraph replac warrant relat debt instrument equiti treat option paragraph paragraph replac equiti issuer issu trade debt instrument attract requir tabl appear paragraph attract lower requir guarante secur annex ii amend paragraph replac case transact debt instrument equiti commod exclud repurchas revers repurchas agreement secur commod lend secur commod borrow unsettl due deliveri date institut calcul price differ expos differ agre settlement price debt instrument equiti commod question current market differ involv loss institut multipli differ factor column tabl appear paragraph order calcul capit requir paragraph replac institut requir hold capit counterparti risk paid secur commod receiv deliv secur commod receiv payment ii case cross border transact dai elaps made payment deliveri capit requir secur commod cash ow institut multipli risk weight applic relev counterparti head paragraph subparagraph paragraph replac repurchas revers repurchas agreement secur commod lend borrow case repurchas agreement secur commod lend base secur commod includ trade book institut calcul differ market secur commod amount borrow institut market collater differ posit case revers repurchas agreement secur commod borrow institut calcul differ amount institut lent market collater market secur commod receiv differ posit annex iii amend paragraph replac sum institut net foreign exchang posit net gold posit calcul accord procedur set exce total fund multipli sum net foreign exchang posit net gold posit order calcul fund requir foreign exchang risk decemb compet author institut calcul fund requir multipli amount sum net foreign exchang posit net gold posit exce total fund paragraph replac firstli institut net open posit currenc includ report currenc gold calcul posit consist sum element posit neg net spot posit asset item liabil item includ accru interest currenc question gold net spot posit gold net forward posit amount receiv amount paid forward exchang gold transact includ currenc gold futur princip currenc swap includ spot posit irrevoc guarante similar instrument call irrecover net futur incom expens accru fulli hedg discret report institut prior consent compet author net futur incom expens enter account record fulli hedg forward foreign exchang transact includ discret exercis consist basi net delta delta base equival total book foreign currenc gold option market foreign currenc gold option posit institut deliber order hedg advers effect exchang rate capit ratio exclud calcul net open currenc posit posit trade structur natur exclus variat term exclus requir consent compet author treatment subject condit appli posit institut relat item deduct calcul fund compet author discret institut net present calcul net open posit currenc gold paragraph sentenc replac net short long posit currenc report currenc net long short posit gold convert spot rate report currenc paragraph replac decemb compet author institut appli altern method outlin paragraph purpos annex capit requir produc method suffici exce net open posit measur paragraph basi analysi exchang rate movement roll work dai period preced year exce loss time altern method subparagraph condit calcul formula correl coeffici set compet author base analysi exchang rate movement ii compet author review correl coeffici regularli light develop foreign exchang market annex amend paragraph sentenc replac notwithstand paragraph compet author permit institut oblig meet fund requir laid annex ii iii iv vi vii viii altern definit meet requir paragraph replac subordin loan capit refer paragraph exce maximum origin fund left meet requir laid annex ii iii iv vi vii viii approach maximum circumst accept relev author paragraph replac compet author permit invest firm exce ceil subordin loan capit prescrib paragraph judg prudenti adequ provid total subordin loan capit item refer paragraph exce origin fund left meet requir impos annex ii iii iv vi vii viii amount invest firm deduct item refer paragraph calcul fund compet author permit ceil subordin loan capit prescrib paragraph exceed credit institut judg prudenti adequ provid total subordin loan capit item refer paragraph exce origin fund left meet requir impos annex ii iii vi vii viii annex ad annex vii commod risk posit commod commod deriv express term standard unit measur spot price commod express report currenc posit gold gold deriv consid subject foreign exchang risk treat annex iii annex viii purpos calcul market risk purpos annex posit pure stock financ exclud commod risk calcul interest rate foreign exchang risk cover provis annex includ calcul gener risk trade debt instrument calcul foreign exchang risk short posit fall due long posit institut guard risk shortag liquid exist market purpos paragraph excess institut long short posit short long posit commod ident commod futur option warrant net posit commod compet author posit deriv instrument treat laid paragraph posit underli commod compet author regard posit posit commod posit categori commod case categori deliver posit similar commod close substitut minimum correl price movement establish minimum period year instrument commod futur forward commit bui sell individu commod incorpor measur system notion amount term standard unit measur assign matur refer expiri date compet author capit requir exchang trade futur equal margin requir exchang fulli satisfi accur measur risk futur equal capit requir futur result calcul made method set remaind annex appli intern model method annex viii decemb compet author capit requir otc commod deriv contract type refer paragraph clear clear hous recognis equal margin requir clear hous fulli satisfi accur measur risk deriv contract equal capit requir contract question result calcul made method set remaind annex appli intern model method annex viii commod swap side transact fix price current market price incorpor matur ladder approach seri posit equal notion amount contract posit payment swap slot matur ladder set tabl appear paragraph posit long posit institut pai fix price receiv float price short posit institut receiv fix price pai float price commod swap side transact commod report relev report ladder matur ladder approach option commod commod deriv treat posit equal amount underli option refer multipli delta purpos annex posit net offset posit ident underli commod commod deriv delta exchang concern calcul compet author otc option calcul institut subject compet author satisfi model institut reason compet author prescrib institut calcul delta methodolog compet author compet author requir risk delta risk commod option safeguard compet author requir written exchang trade commod option equal margin requir exchang fulli satisfi accur measur risk option equal capit requir option result calcul made method set remaind annex appli intern model method annex viii decemb compet author capit requir otc commod option clear clear hous recognis equal margin requir clear hous fulli satisfi accur measur risk option equal capit requir otc option result calcul made method set remaind annex appli intern model method annex viii addit requir bought exchang trade otc commod option commod underli subject constraint result requir exce market option requir written otc option set relat commod underli warrant relat commod treat commod option paragraph transferor commod guarante right relat titl commod repurchas agreement lender commod commod lend agreement includ commod calcul capit requir annex matur ladder approach institut separ matur ladder line tabl commod posit commod posit regard posit commod pursuant paragraph assign matur band physic stock assign matur band gt tabl gt compet author posit regard pursuant paragraph posit commod offset assign matur band net basi posit contract matur date posit contract matur dai contract trade market daili deliveri date institut work sum long posit sum short posit matur band amount match matur band match posit band residu long short posit unmatch posit band part unmatch long short posit matur band match unmatch short long posit matur band match posit matur band part unmatch long unmatch short posit match unmatch posit institut capit requir commod calcul basi relev matur ladder sum sum match long short posit multipli spread rate column tabl appear paragraph matur band spot price commod ii match posit matur band matur band unmatch posit carri forward multipli carri rate spot price commod iii residu unmatch posit multipli outright rate spot price commod institut capit requir commod risk calcul sum capit requir calcul commod paragraph simplifi approach institut capit requir commod calcul sum net posit long short multipli spot price commod ii gross posit long short multipli spot price commod institut capit requir commod risk calcul sum capit requir calcul commod paragraph annex viii intern model compet author subject condit laid annex institut calcul capit requir posit risk foreign exchang risk commod risk intern risk manag model combin method annex iii vii explicit recognit compet author model supervisori capit purpos requir case recognit compet author satisfi institut risk manag system conceptu sound implement integr qualit standard met intern risk measur model close integr daili risk manag process institut serv basi report risk exposur senior manag institut ii institut risk control unit independ busi trade unit report directli senior manag unit respons design implement institut risk manag system produc analys daili report output risk measur model measur term trade limit iii institut board director senior manag activ involv risk control process daili report produc risk control unit review level manag suffici author enforc reduct posit individu trader institut risk exposur iv institut suffici number staff skill sophist model trade risk control audit back offic area institut establish procedur monitor ensur complianc document set intern polici control oper risk measur system vi institut model proven track record reason accuraci measur risk vii institut frequent conduct rigor programm stress test result test review senior manag reflect polici limit set viii institut conduct part regular intern audit process independ review risk measur system review includ activ busi trade unit independ risk control unit year institut conduct review risk manag process review adequaci document risk manag system process organis risk control unit integr market risk measur daili risk manag integr manag inform system process institut emploi approv risk price model valuat system front back offic personnel scope market risk captur risk measur model valid signific risk measur process accuraci complet posit data accuraci appropri volatil correl assumpt accuraci valuat risk sensit calcul verif process institut emploi evalu consist timeli reliabl data sourc run intern model includ independ data sourc verif process institut evalu back test conduct assess model accuraci institut monitor accuraci perform model conduct back test programm back test provid busi dai comparison dai risk measur gener institut end subsequ busi dai compet author examin institut capabl perform back test actual hypothet portfolio back test hypothet portfolio base comparison portfolio end dai assum unchang posit end subsequ dai compet author requir institut measur improv back test programm deem defici purpos calcul capit requir specif risk trade debt equiti posit compet author recognis institut intern model addit complianc condit remaind annex model explain histor price variat portfolio captur concentr term magnitud composit portfolio robust advers environ valid back test aim assess specif risk accur captur compet author back test perform basi relev portfolio chosen consist manner institut intern model recognis accord paragraph subject separ capit charg specif risk calcul annex purpos paragraph ii result institut calcul scale multipl factor multipl factor increas factor accord tabl depend number overshoot recent busi dai evidenc institut back test compet author requir institut calcul overshoot consist basi back test actual hypothet portfolio overshoot dai chang portfolio exce relat dai risk measur gener institut model purpos determin factor number overshoot assess quarterli gt tabl gt compet author individu case ow except situat waiv requir increas multipl factor factor tabl institut demonstr satisfact compet author increas unjustifi model basic sound numer overshoot model suffici accur compet author revok model recognit impos measur ensur model improv promptli order compet author monitor appropri factor ongo basi institut notifi promptli case work dai compet author overshoot result form back test programm tabl impli increas factor institut model recognis compet author accord paragraph purpos calcul capit requir specif risk institut increas capit requir calcul pursuant paragraph surcharg amount specif risk portion risk measur isol supervisori guidelin institut option ii risk measur portfolio debt equiti posit specif risk institut option ii requir identifi portfolio structur chang consent compet author compet author waiv requir pursuant paragraph surcharg institut demonstr line agre intern standard model accur captur event risk default risk trade debt equiti posit institut meet capit requir express higher previou dai risk number measur paramet annex ii averag daili risk measur preced busi dai multipli factor mention paragraph adjust factor mention paragraph calcul risk subject minimum standard daili calcul risk ii percentil tail confid interv iii dai equival hold period iv effect histor observ period year shorter observ period justifi signific upsurg price volatil monthli data set updat compet author requir model captur accur materi price risk option option posit risk captur model cover adequ fund compet author requir risk measur model captur suffici number risk factor depend level activ institut respect market minimum provis respect interest rate risk risk measur system incorpor set risk factor interest rate currenc institut interest rate sensit balanc sheet posit institut model yield curv gener accept approach materi exposur interest rate risk major currenc market yield curv divid minimum matur segment captur variat volatil rate yield curv risk measur system captur risk perfectli correl movement yield curv ii foreign exchang risk risk measur system incorpor risk factor gold individu foreign currenc institut posit denomin iii equiti risk risk measur system separ risk factor equiti market institut hold signific posit iv commod risk risk measur system separ risk factor commod institut hold signific posit risk measur system captur risk perfectli correl movement similar ident commod exposur forward price aris matur mismatch account market characterist notabl deliveri date scope provid trader close posit compet author institut empir correl risk categori risk categori satisfi institut system measur correl sound implement integr