natgillin/translations-raw huggingface dataset:
the own funds requirement calculated in accordance with Article 337 and 338 for the specific risk of securitisation positions and nth to default credit derivatives in the trading book with the exception of those incorporated in an own funds requirement for the specific risk of the correlation trading portfolio in accordance with Section 5 and, where applicable, the own funds requirement for specific risk in accordance with Chapter 2, Section 6, for those positions in CIUs for which neither the conditions in Article 350(1) nor Article 350(2) are fulfilled;
kapitalske zahteve, izračunane v skladu s členoma 337 in 338, za posebno tveganje pozicij v listinjenju in kreditnih izvedenih finančnih instrumentov na podlagi n-tega neplačila v trgovalni knjigi, z izjemo tistih, ki so vključena v kapitalsko zahtevo za posebno tveganje trgovalnega portfelja s korelacijo v skladu z oddelkom 5 in po potrebi v kapitalsko zahtevo za posebno tveganje v skladu z oddelkom 6 poglavja 2, za tiste pozicije v KNP, za katere niso izpolnjeni niti pogoji iz člena 350 (1) niti pogoji iz člena 350 (2);
the higher of:
večje izmed:
the most recent risk number for the incremental default and migration risk calculated in accordance with Section 3;
najnovejše vrednosti tveganja za presežno tveganje neplačila in migracije, izračunane v skladu z oddelkom 3;
the average of this number over the preceding 12 weeks.
povprečja te vrednosti v zadnjih 12 tednih.
Institutions that have a correlation trading portfolio, which meets the requirements in Article 338(1) to (3), may fulfil an own funds requirement on the basis of Article 377 instead of Article 338(4), calculated as the higher of the following:
Institucije s trgovalnim portfeljem s korelacijo, ki izpolnjuje zahteve iz člena 338 (1) do (3), lahko sklenejo, da bodo izpolnile kapitalsko zahtevo na podlagi člena 377 in ne člena 338 (4), izračunano kot večje od naslednjega:
the most recent risk number for the correlation trading portfolio calculated in accordance with Section 5;
najnovejše vrednosti tveganja za trgovalni portfelj s korelacijo, izračunane v skladu z oddelkom 5;
the average of this number over the preceding 12-weeks;
povprečja te vrednosti v zadnjih 12 tednih;
8 % of the own funds requirement that would, at the time of calculation of the most recent risk number referred to in point (a), be calculated in accordance with Article 338(4) for all those positions incorporated into the internal model for the correlation trading portfolio.
8 % kapitalske zahteve, ki bi bila v času izračuna najnovejše vrednosti tveganja iz točke (a) izračunana v skladu s členom 338(4), za vse tiste pozicije, ki so vključene v notranji model za trgovalni portfelj s korelacijo.
VaR and stressed VaR Calculation
Izračun tvegane vrednosti (VaR) in stresne tvegane vrednosti
The calculation of the value-at-risk number referred to in Article 364 shall be subject to the following requirements:
Izračun tvegane vrednosti iz člena 364 je predmet naslednjih zahtev:
daily calculation of the value-at-risk number;
dnevnega izračunavanja tvegane vrednosti;
a 99th percentile, one-tailed confidence interval;
99 % enostranskega intervala zaupanja;
a 10-day holding period;
nevnega obdobja posedovanja;
an effective historical observation period of at least one year except where a shorter observation period is justified by a significant upsurge in price volatility;
najmanj enoletnega efektivnega obdobja opazovanja preteklih dogodkov, razen če je krajše obdobje opazovanja upravičeno zaradi znatnega povečanja nestanovitnosti cen;
at least monthly data set updates.
najmanj mesečnih posodobitev podatkovnih nizov.
The institution may use value-at-risk numbers calculated according to shorter holding periods than 10 days scaled up to 10 days by an appropriate methodology that is reviewed periodically.
Institucija lahko uporabi tvegane vrednosti, izračunane v skladu z obdobji posedovanja, krajšimi od 10 dni, prilagojene navzgor na obdobje 10 dni z ustrezno metodologijo, ki se redno pregleduje.
In addition, the institution shall at least weekly calculate a 'stressed value-at-risk' of the current portfolio, in accordance with the requirements set out in the first paragraph, with value-at-risk model inputs calibrated to historical data from a continuous 12-month period of significant financial stress relevant to the institution's portfolio.
Poleg tega institucija vsaj tedensko izračuna "stresno tvegano vrednost" trenutnega portfelja v skladu z zahtevami iz prvega odstavka, pri čemer so vhodni podatki modela tvegane vrednosti umerjeni na pretekle podatke iz nepretrganega 12-mesečnega obdobja resnega finančnega stresa, ki zadeva portfelj institucije.
The choice of such historical data shall be subject to at least annual review by the institution, which shall notify the outcome to the competent authorities.
Izbira takšnih preteklih podatkov je predmet vsaj letnega pregleda s strani institucije, ki o izidu uradno obvesti pristojne organe.
EBA shall monitor the range of practices for calculating stressed value at risk and shall, in accordance with Article 16 of Regulation (EU) No 1093/2010, issue guidelines on such practices.
EBA spremlja različne prakse za izračunavanje stresne tvegane vrednosti in v skladu s členom 16 Uredbe (EU) št. 1093/2010 pripravi smernice glede takšnih praks.
Regulatory back testing and multiplication factors
Regulatorno testiranje za nazaj in multiplikatorji
The results of the calculations referred to in Article 365 shall be scaled up by the multiplication factors (mc) and (ms).
Rezultati izračunov iz člena 365 se prilagodijo navzgor z multiplikatorjema (mc) in (ms).
Each of the multiplication factors (mc) and (ms) shall be the sum of at least 3 and an addend between 0 and 1 in accordance with Table 1.
Vsak od multiplikatorjev (mc) in (ms) je vsota najmanj 3 ter prištevka med 0 in 1 v skladu z razpredelnico 1.
That addend shall depend on the number of overshootings for the most recent 250 business days as evidenced by the institution's back-testing of the value-at-risk number as set out in Article 365(1).
Prištevek je odvisen od števila preseganj za zadnjih 250 delovnih dni, ugotovljenih s testiranjem tvegane vrednosti za nazaj, ki ga opravi institucija, kot je določeno v členu 365(1).
addend
Prištevek
Fewer than 5
Manj kot 5
The review referred to in point (h) of paragraph 1 shall include both the activities of the business trading units and of the independent risk-control unit.
Pregled iz točke (h) odstavka 1 vključuje dejavnosti trgovalnih enot in neodvisnih enot za nadzor tveganj.
At least once a year, the institution shall conduct a review of its overall risk-management process.
Najmanj enkrat na leto institucija opravi pregled svojega celotnega postopka za obvladovanje tveganj.
the adequacy of the documentation of the risk-management system and process and the organisation of the risk-control unit;
ustreznost dokumentacije sistema in postopka za obvladovanje tveganj ter organizacije enote za nadzor tveganj;
the integration of risk measures into daily risk management and the integrity of the management information system;
vključenost meritev tveganja v dnevno upravljanje tveganj in celovitost sistema obveščanja vodstva;
the process the institution employs for approving risk-pricing models and valuation systems that are used by front and back-office personnel;
proces, ki ga institucija uporablja za odobravanje cenovnih modelov in sistemov vrednotenja, ki jih uporabljajo zaposleni v trgovalni enoti in zaledni službi;
the scope of risks captured by the risk-measurement model and the validation of any significant changes in the risk-measurement process;
obseg tveganj, ki jih zajame model za merjenje tveganj, in ovrednotenje vseh večjih sprememb v procesu merjenja tveganj;
the accuracy and completeness of position data, the accuracy and appropriateness of volatility and correlation assumptions, and the accuracy of valuation and risk sensitivity calculations;
točnost in popolnost podatkov o pozicijah, točnost in ustreznost predpostavk glede nestanovitnosti in korelacij ter točnost izračunov vrednotenja in občutljivosti na tveganje;
the verification process the institution employs to evaluate the consistency, timeliness and reliability of data sources used to run internal models, including the independence of such data sources;
postopek preverjanja, ki ga institucija uporablja za oceno doslednosti, pravočasnosti in zanesljivosti virov podatkov, ki se uporabljajo za delovanje notranjih modelov, vključno z neodvisnostjo takih virov podatkov;
the verification process the institution uses to evaluate back-testing that is conducted to assess the models' accuracy.
postopek preverjanja, ki ga institucija uporablja za oceno testiranja za nazaj in se izvede, da se oceni točnost modela.
Internal Validation
Notranje ovrednotenje
Institutions shall have processes in place to ensure that all their internal models used for purposes of this Chapter have been adequately validated by suitably qualified parties independent of the development process to ensure that they are conceptually sound and adequately capture all material risks.
Institucije imajo vzpostavljene postopke za zagotovitev, da so bili vsi njihovi notranji modeli, ki se uporabljajo za namene iz tega poglavja, ustrezno ovrednoteni s strani primerno kvalificiranih oseb, neodvisno od postopka njihovega oblikovanja, da se zagotovi, da so konceptualno zanesljivi in zadostno zajamejo vsa pomembna tveganja.
The validation shall be conducted when the internal model is initially developed and when any significant changes are made to the internal model.
Ovrednotenje se izvede v izhodišču, ko se notranji model oblikuje, in ob uvedbi vseh večjih sprememb notranjega modela.
The validation shall also be conducted on a periodic basis but especially where there have been any significant structural changes in the market or changes to the composition of the portfolio which might lead to the internal model no longer being adequate.
Ovrednotenje se izvaja tudi periodično, vendar zlasti, kadar pride do večjih strukturnih sprememb na trgu ali sprememb sestave portfelja, zaradi česar notranji model lahko ne bi bil več ustrezen.
As techniques and best practices for internal validation evolve, institutions shall apply these advances.
Z razvojem tehnik in najboljših praks institucije uporabijo te nove tehnike in prakse.
Internal model validation shall not be limited to back-testing, but shall, at a minimum, also include the following:
Potrjevanje notranjih modelov ni omejeno na testiranje za nazaj, ampak vključuje najmanj tudi naslednje:
tests to demonstrate that any assumptions made within the internal model are appropriate and do not underestimate or overestimate the risk;
teste, ki dokazujejo, da so vse predpostavke v zvezi z notranjim modelom ustrezne in ne podcenjujejo ali precenjujejo tveganja;
in addition to the regulatory back-testing programmes, institutions shall carry out their own internal model validation tests, including back-testing, in relation to the risks and structures of their portfolios;
poleg regulatornih programov testiranja za nazaj institucije izvajajo lastne teste za ovrednotenje notranjega modela, vključno s testiranjem za nazaj v zvezi s tveganji in strukturami svojih portfeljev;
the use of hypothetical portfolios to ensure that the internal model is able to account for particular structural features that may arise, for example material basis risks and concentration risk.
uporabo hipotetičnih portfeljev za zagotovitev, da je notranji model zmožen upoštevati posebne strukturne okoliščine, ki lahko nastanejo, na primer večje tveganje osnove in tveganje koncentracije.
The institution shall perform back-testing on both actual and hypothetical changes in the portfolio's value.
Institucija izvaja testiranje za nazaj na podlagi dejanskih in hipotetičnih sprememb vrednosti portfelja.
Requirements particular to specific risk modelling
Posebne zahteve za modeliranje posebnega tveganja
Requirements for modelling specific risk
Zahteve za modeliranje posebnega tveganja
An internal model used for calculating own funds requirements for specific risk and an internal model for correlation trading shall meet the following additional requirements:
Notranji model, ki se uporablja za izračun kapitalskih zahtev za posebno tveganje, in notranji model za trgovanje s korelacijami izpolnjujeta naslednje dodatne zahteve:
it explains the historical price variation in the portfolio;
pojasnjujeta preteklo spremenljivost cen v portfelju;
it captures concentration in terms of magnitude and changes of composition of the portfolio;
zajameta koncentracijo v smislu velikosti portfelja in sprememb njegove sestave;
it is robust to an adverse environment;
ustrezno delujeta v neugodnem okolju;
it is validated through back-testing aimed at assessing whether specific risk is being accurately captured.
ovrednotena sta s testiranjem za nazaj, katerega namen je oceniti, če je posebno tveganje zajeto natančno.
If the institution performs such back-testing on the basis of relevant sub-portfolios, these shall be chosen in a consistent manner;
Če institucija tako testiranje za nazaj izvaja na podlagi ustreznih podportfeljev, je izbira teh dosledna;
it captures name-related basis risk and shall in particular be sensitive to material idiosyncratic differences between similar but not identical positions;
zajameta idiosinkratično osnovno tveganje, še zlasti, da sta občutljiva na pomembne značilne razlike med pozicijami, ki so si podobne, vendar niso identične;
it captures event risk.
zajameta tveganje nepričakovanih dogodkov.
Exclusions from specific risk models
Izključitve iz modelov posebnega tveganja
An institution may choose to exclude from the calculation of its specific risk own funds requirement using an internal model those positions for which it fulfils an own funds requirement for specific risk in accordance with Article 332(1)(e) or Article 337 with exception of those positions that are subject to the approach set out in Article 377.
Institucija se lahko odloči, da iz izračuna svoje kapitalske zahteve za posebno tveganje z uporabo notranjega modela izključi tiste pozicije, za katere izpolnjuje kapitalsko zahtevo za posebno tveganje v skladu s členom 332 (1)(e) ali členom 337, razen pozicij, za katere se uporablja pristop iz člena 377.
An institution may choose not to capture default and migration risks for traded debt instruments in its internal model where it is capturing those risks through the requirements set out in Section 4.
Institucija se lahko odloči, da v svojem notranjem modelu ne zajame tveganj neplačila in migracije za dolžniške instrumente, s katerimi se trguje na borzi, kadar ta tveganja zajame z izpolnjevanjem zahtev iz oddelka 4.
Internal model for incremental default and migration risk
Notranji model za presežno tveganje neplačila in migracije
Article 372
člen 372
Requirement to have an internal IRC model
Zahteva za uporabo notranjega modela IRC
An institution that use an internal model for calculating own funds requirements for specific risk of traded debt instruments shall also have an internal incremental default and migration risk (IRC) model in place to capture the default and migration risks of its trading book positions that are incremental to the risks captured by the value-at-risk measure as specified in Article 365(1).
Institucija, ki za izračunavanje kapitalskih zahtev za posebno tveganje dolžniških instrumentov, s katerimi se trguje na borzi, uporablja notranji model, ima vzpostavljen tudi notranji model za presežno tveganje neplačila in migracije (v nadaljevanju besedila: notranji model IRC), da zajame tveganja neplačila in migracije svojih pozicij v trgovalni knjigi, ki presežejo tveganja, zajeta v tvegani vrednosti iz člena 365(1).
The institution shall demonstrate that its internal model meets the following standards under the assumption of a constant level of risk, and adjusted where appropriate to reflect the impact of liquidity, concentrations, hedging and optionality:
Institucija dokaže, da njen notranji model izpolnjuje naslednje standarde ob predpostavki, da se raven tveganja ne spreminja, in se po potrebi prilagaja zaradi upoštevanja vpliva likvidnosti, koncentracij, zavarovanja in izbirnosti:
the internal model provides a meaningful differentiation of risk and accurate and consistent estimates of incremental default and migration risk;
notranji model zagotavlja smiselno razlikovanje tveganja ter natančne in dosledne ocene presežnega tveganja neplačila in migracije;
the internal model's estimates for potential losses play an essential role in the risk management of the institution;
ocene potencialnih izgub, pridobljene na podlagi notranjega modela, imajo ključno vlogo pri upravljanju tveganj institucije;
the market and position data used for the internal model are up-to-date and subject to an appropriate quality assessment;
tržni podatki in podatki o pozicijah, ki se uporabljajo za notranji model, so posodobljeni in ustrezno ocenjeni z vidika kakovosti;
the requirements in Article 367(3), Article 368, Article 369(1) and points (b), (c), (e) and (f) of Article 370 are met.
zahteve v členih 367 (3), 368, 369 (1) in 370 (b), (c), (e) in (f) so izpolnjene.
EBA shall issue guidelines on the requirements in Articles 373 to 376.
EBA objavi smernice za zahteve iz členov 373 do 376.
Article 373
člen 373
Scope of the internal IRC model
Področje uporabe notranjega modela IRC
The internal IRC model shall cover all positions subject to an own funds requirement for specific interest rate risk, including those subject to a 0 % specific risk capital charge under Article 336, but shall not cover securitisation positions and n-th-to-default credit derivatives.
Notranji model IRC zajame vse pozicije, ki so predmet kapitalske zahteve za posebno obrestno tveganje, vključno s tistimi, ki so predmet 0 % kapitalske zahteve za posebno tveganje v skladu s členom 336, vendar ne zajame pozicij v listinjenju in kreditnih izvedenih finančnih instrumentov na podlagi n-tega neplačila.
The institution may, subject to permission by the competent authorities, choose to consistently include all listed equity positions and derivatives positions based on listed equities.
Institucija se lahko odloči, če ima za to dovoljenje pristojnih organov, za dosledno vključevanje vseh pozicij v lastniških instrumentih, ki kotirajo na borzi, in pozicij v izvedenih finančnih instrumentih na lastniški instrument, ki kotira na borzi.
The permission shall be granted if such inclusion is consistent with how the institution internally measures and manages risk.
Dovoljenje se izda, če je takšna vključitev skladna z načinom, kako institucija notranje meri in obvladuje tveganje.
Parameters of the internal IRC model
Parametri notranjega modela IRC
Institutions shall use the internal model to calculate a number which measures losses due to default and internal or external ratings migration at the 99,9 % confidence interval over a time horizon of one year.
Institucije uporabijo notranji model za izračun števila, ki meri izgube zaradi neplačila ali migracije notranjih ali zunanjih bonitetnih ocen pri 99,9 % intervalu zaupanja v časovnem obdobju enega leta.
Institutions shall calculate this number at least weekly.
Institucije to število izračunajo vsaj tedensko.
Correlation assumptions shall be supported by analysis of objective data in a conceptually sound framework.
Predpostavke o korelaciji so podprte z analizo objektivnih podatkov v konceptualno zanesljivem okviru.
The internal model shall appropriately reflect issuer concentrations.
Notranji model ustrezno odraža koncentracije izdajateljev.
Concentrations that can arise within and across product classes under stressed conditions shall also be reflected.
Odražajo se tudi koncentracije, ki lahko nastanejo znotraj razredov produktov in med njimi v stresnih pogojih.
The internal IRC model shall reflect the impact of correlations between default and migration events.
Notranji model IRC odraža vpliv korelacij med dogodki neplačila in dogodki migracije.
The impact of diversification between, on the one hand, default and migration events and, on the other hand, other risk factors shall not be reflected.
Ne odraža pa vpliva razlikovanja med dogodki neplačila in dogodki migracije na eni strani ter drugimi dejavniki tveganja na drugi strani.
The internal model shall be based on the assumption of a constant level of risk over the one-year time horizon, implying that given individual trading book positions or sets of positions that have experienced default or migration over their liquidity horizon are re-balanced at the end of their liquidity horizon to attain the initial level of risk.
Notranji model temelji na predpostavki, da se stopnja tveganja v časovnem obdobju enega leta ne spreminja, kar pomeni, da se dane posamezne pozicije v trgovalni knjigi ali nizi pozicij, ki so bili v obdobju likvidnosti predmet neplačila ali migracije, ob koncu njihovega obdobja likvidnosti ponovno uravnotežijo, da dosežejo izhodiščno stopnjo tveganja.
Alternatively, an institution may choose to consistently use a one-year constant position assumption.
Alternativno se lahko institucija odloči tudi za dosledno uporabo predpostavke o enoletni konstantni poziciji.
The liquidity horizons shall be set according to the time required to sell the position or to hedge all material relevant price risks in a stressed market, having particular regard to the size of the position.
Obdobja likvidnosti se določijo v skladu s časom, potrebnim za prodajo pozicije ali za zavarovanje vseh pomembnih relevantnih cenovnih tveganj v stresnih tržnih razmerah, ob posebnem upoštevanju velikosti pozicije.
Liquidity horizons shall reflect actual practice and experience during periods of both systematic and idiosyncratic stresses.
Obdobja likvidnosti odražajo dejansko prakso in izkušnje v obdobjih tako sistematičnih kot idiosinkratičnih težkih razmer.
The liquidity horizon shall be measured under conservative assumptions and shall be sufficiently long that the act of selling or hedging, in itself, would not materially affect the price at which the selling or hedging would be executed.
Obdobje likvidnosti se meri na podlagi konzervativnih predpostavk in je dovolj dolgo, da dejanje prodaje ali varovanja samo po sebi ne bi bistveno vplivalo na ceno, po kateri bi bila prodaja ali varovanje izvršena.
The determination of the appropriate liquidity horizon for a position or set of positions is subject to a floor of three months.
Pri določitvi ustreznega obdobja likvidnosti za pozicijo ali niz pozicij se upošteva trimesečne spodnji prag.
The determination of the appropriate liquidity horizon for a position or set of positions shall take into account an institution's internal policies relating to valuation adjustments and the management of stale positions.
Določitev ustreznega obdobja likvidnosti za pozicijo ali niz pozicij upošteva notranje politike institucije v zvezi s prilagoditvami vrednotenja in upravljanjem zastaranih pozicij.
When an institution determines liquidity horizons for sets of positions rather than for individual positions, the criteria for defining sets of positions shall be defined in a way that meaningfully reflects differences in liquidity.
Kadar institucija določi obdobja likvidnosti za nize pozicij in ne za posamezne pozicije, so merila za določitev nizov pozicij opredeljena tako, da smiselno odražajo razlike v njihovi likvidnosti.
The liquidity horizons shall be greater for positions that are concentrated, reflecting the longer period needed to liquidate such positions.
Obdobja likvidnosti so daljša za pozicije, ki so koncentrirane, kar odraža daljše obdobje, potrebno za unovčenje takih pozicij.
The liquidity horizon for a securitisation warehouse shall reflect the time to build, sell and securitise the assets, or to hedge the material risk factors, under stressed market conditions.
Obdobje likvidnosti za osnovne izpostavljenosti, ki jih banka namerava listiniti, odraža čas za zbiranje, prodajo in listinjenje sredstev ali za varovanje pomembnih dejavnikov tveganja v stresnih tržnih pogojih.
Recognition of hedges in the internal IRC model
Priznanje varovanj v notranjem modelu IRC