natgillin/translations-raw huggingface dataset:
To evaluate the effectiveness of its stress calibration for EEPE, an institution shall create several benchmark portfolios that are vulnerable to the main risk factors to which the institution is exposed.
Da bi institucija ocenila učinkovitost stresne umeritve EEPE, ustvari več referenčnih portfeljev, ki so občutljivi na glavne dejavnike tveganja, katerim je izpostavljena institucija6.
The exposure to these benchmark portfolios shall be calculated using (a) a stress methodology, based on current market values and model parameters calibrated to stressed market conditions, and (b) the exposure generated during the stress period, but applying the method set out in this Section (end of stress period market value, volatilities, and correlations from the 3-year stress period).
Izpostavljenost tem referenčnim portfeljem se izračuna z uporabo (a) stresne metodologije, ki temelji na tekočih tržnih vrednostih in parametrih modela, ki so umerjeni glede na stresne tržne pogoje, ter (b) izpostavljenosti v obdobju stresnih situacij, vendar z uporabo metode, določene v tem oddelku (konec tržne vrednosti iz stresnih obdobja, nestanovitnosti in korelacije iz triletnega stresnega obdobja).
The competent authorities shall require an institution to adjust the stress calibration if the exposures of those benchmark portfolios deviate substantially from each other.
Pristojni organi zahtevajo od institucije, da prilagodi umeritve glede na stresne situacije, če izpostavljenosti teh referenčnih portfeljev znatno odstopajo ena od druge.
An institution shall subject the model to a validation process that is clearly articulated in the institutions' policies and procedures.
Institucija za model izvaja postopek ovrednotenja, ki je jasno določen v politikah in postopkih institucije.
That validation process shall:
Ta postopek ovrednotenja:
specify the kind of testing needed to ensure model integrity and identify conditions under which the assumptions underlying the model are inappropriate and may therefore result in an understatement of EPE;
določi vrsto testiranja, potrebnega za zagotovitev celovitosti modela in za opredelitev pogojev, pod katerimi so predpostavke modela neustrezne in lahko zato povzročijo podcenjevanje vrednosti EPE modela;
include a review of the comprehensiveness of the model.
vključuje pregled celovitosti modela.
An institution shall monitor the relevant risks and have processes in place to adjust its estimation of EEPE when those risks become significant.
Institucija spremlja ustrezna tveganja in ima vzpostavljene postopke za prilagajanje svojih ocen EEPE, ko postanejo navedena tveganja bistvena.
In complying with this paragraph, the institution shall:
Institucija pri upoštevanju tega odstavka:
identify and manage its exposures to Specific Wrong-Way risk arising as specified in Article 291(1)(b) and exposures to General Wrong-Way risk arising as specified in Article 291(1)(a);
opredeli in upravlja svoje izpostavljenosti posebnemu tveganju neugodnih gibanj, ki nastane, kot je določeno v členu 291(1)(b), in izpostavljenosti splošnemu tveganju neugodnih gibanj, ki nastane, kot je določeno v členu 291(1)(a);
for exposures with a rising risk profile after one year, compare on a regular basis the estimate of a relevant measure of exposure over one year with the same exposure measure over the life of the exposure;
za izpostavljenosti s povečanim profilom tveganja po enem letu redno primerja oceno zadevne mere izpostavljenosti za eno leto z enako mero izpostavljenosti za celotno trajanje izpostavljenosti;
for exposures with a residual maturity below one year, compare on a regular basis the replacement cost (current exposure) and the realised exposure profile, and store data that would allow such a comparison.
za izpostavljenosti s preostalo zapadlostjo, ki znaša manj kakor eno leto, redno primerja nadomestitvene vrednosti (tekočo izpostavljenost) in realizirani profil izpostavljenosti ter hrani podatke, ki omogočajo tako primerjavo.
An institution shall have internal procedures to verify that, prior to including a transaction in a netting set, the transaction is covered by a legally enforceable netting contract that meets the requirements set out in Section 7.
Institucija ima vzpostavljene notranje postopke za preverjanje, ali je posel pred vključitvijo v niz pobotov urejen s s pravno izvršljivo pogodboo pobotu, ki izpolnjuje zahteve iz oddelka 7.
An institution that uses collateral to mitigate its CCR shall have internal procedures to verify that, prior to recognising the effect of collateral in its calculations, the collateral meets the legal certainty standards set out in Chapter 4.
Institucija, ki za zmanjševanje CCR uporablja zavarovanje s premoženjem, ima vzpostavljene notranje postopke, da pred priznanjem učinka zavarovanja s premoženjem v svojih izračunih preveri, ali zavarovanje s premoženjem ustreza standardom pravne gotovosti, kakor je navedeno v Poglavju 4.
EBA shall monitor the range of practices in this area and shall, in accordance with Article 16 of Regulation (EU) No 1093/2010, issue guidelines on the application of this Article.
EBA spremlja različne prakse na tem področju in v skladu s členom 16 Uredbe (EU) št. 1093/2010 izda smernice za uporabo tega člena.
Requirements for the risk management system
Zahteve za sistem upravljanja tveganj
An institution shall comply with the following requirements:
Institucija izpolnjuje naslednje zahteve:
it shall meet the qualitative requirements set out in Part Three, Title IV, Chapter 5;
izpolnjuje kvalitativne zahteve iz dela tri, naslova IV, poglavja 5;
it shall conduct a regular programme of back-testing, comparing the risk measures generated by the model with realised risk measures, and hypothetical changes based on static positions with realised measures;
vodi reden program testiranja za nazaj, v katerem primerja mere tveganja iz modela z realiziranimi merami tveganja ter hipotetične spremembe, ki temeljijo na statičnih pozicijah z realiziranimi merami;
it shall carry out an initial validation and an on-going periodic review of its CCR exposure model and the risk measures generated by it.
izvede začetno ovrednotenje in redno pregleduje model izpostavljenosti CCR ter mere tveganja, ki izhajajo iz tega modela.
The validation and review shall be independent of the model development;
Ovrednotenje in pregled sta neodvisna od razvoja modela;
the management body and senior management shall be involved in the risk control process and shall ensure that adequate resources are devoted to credit and counterparty credit risk control.
upravljalni organ in višje vodstvo sta vključena v proces nadzora tveganja in zagotavljata, da so za nadzor kreditnega tveganja in kreditnega tveganja nasprotne stranke namenjena ustrezna sredstva.
In this regard, the daily reports prepared by the independent risk control unit established in accordance Article 287(1)(a) shall be reviewed by a level of management with sufficient seniority and authority to enforce both reductions of positions taken by individual traders and reductions in the overall risk exposure of the institution;
Raven vodstva z dovolj veliko pristojnostjo za izvajanje tako znižanj pozicij, ki jih odobrijo posamezni trgovci, kot znižanj celotne izpostavljenosti institucije tveganju, v zvezi s tem pregleduje dnevna poročila, ki jih pripravi neodvisna enota za kontrolo tveganj, ustanovljena v skladu s členom 287(1)(a);
the internal risk measurement exposure model shall be integrated into the day-to-day risk management process of the institution;
notranji model merjenja izpostavljenosti tveganju se vključi v postopek vsakodnevnega upravljanja tveganj institucije;
the risk measurement system shall be used in conjunction with internal trading and exposure limits.
sistem merjenja tveganja se uporablja v povezavi z notranjimi limiti za trgovanje in izpostavljenost.
In this regard, exposure limits shall be related to the institution's risk measurement model in a manner that is consistent over time and that is well understood by traders, the credit function and senior management;
V zvezi s tem so limiti izpostavljenosti povezani z modelom merjenja tveganja institucije na način, ki je skozi čas nespremenljiv in ga trgovci, kreditna funkcija in višje vodstvo dobro razumejo;
an institution shall ensure that its risk management system is well documented.
institucija zagotovi, da je njen sistem za upravljanje tveganj dobro dokumentiran.
In particular, it shall maintain a documented set of internal policies, controls and procedures concerning the operation of the risk measurement system, and arrangements to ensure that those policies are complied with;
Zlasti ohranja dokumentirane notranje politike, kontrole in postopke v zvezi z delovanjem sistema za merjenje tveganja ter ureditve, ki zagotavljajo, da se te politike upoštevajo;
an independent review of the risk measurement system shall be carried out regularly in the institution's own internal auditing process.
v okviru notranjega revizijskega postopka institucije se redno izvaja neodvisni pregled sistema za merjenje tveganj.
This review shall include both the activities of the business trading units and of the independent risk control unit.
Ta pregled zajema dejavnosti enot, ki se ukvarjajo s trgovanjem, in neodvisne enote za upravljanje tveganj.
A review of the overall risk management process shall take place at regular intervals (and no less than once a year) and shall specifically address, as a minimum, all items referred to in Article 288;
Pregled celotnega procesa upravljanja tveganj poteka redno (in najmanj enkrat na leto) in posebej obravnava vsaj zadeve iz člena 288;
the on-going validation of counterparty credit risk models, including back-testing, shall be reviewed periodically by a level of management with sufficient authority to decide the action that will be taken to address weaknesses in the models.
sprotno ovrednotenje modelov kreditnega tveganja nasprotne stranke, vključno s testiranjem za nazaj, redno pregleduje raven vodstva, ki ima dovolj pristojnosti za odločanje o ukrepanju za odpravo pomanjkljivosti modelov.
Competent authorities shall take into account the extent to which an institution meets the requirements of paragraph 1 when setting the level of alpha, as set out in Article 284(4).
Pristojni organi pri določanju ravni alfe upoštevajo obseg, v katerem institucija izpolnjuje zahteve iz odstavka 1, kakor je določeno v členu 284(4).
Only those institutions that comply fully with those requirements shall be eligible for application of the minimum multiplication factor.
Samo tiste institucije, ki v celoti izpolnjujejo te zahteve, so upravičene do uporabe minimalnega multiplikatorja.
An institution shall document the process for initial and on-going validation of its CCR exposure model and the calculation of the risk measures generated by the models to a level of detail that would enable a third party to recreate, respectively, the analysis and the risk measures.
Institucija dokumentira proces za začetno in sprotno ovrednotenje modela izpostavljenosti CCR in izračun merjenja tveganja iz modela tako natančno, da lahko tretja oseba ponovno naredi analizo in izmeri tveganje.
That documentation shall set out the frequency with which back testing analysis and any other on-going validation will be conducted, how the validation is conducted with respect to data flows and portfolios and the analyses that are used.
Ta dokumentacija določi pogostost, s katero se izvaja analiza za nazaj in drugo sprotno ovrednotenje, kako se izvaja ovrednotenje glede na tokove podatkov in portfelje ter uporabljene analize.
An institution shall define criteria with which to assess its CCR exposure models and the models that input into the calculation of exposure and maintain a written policy that describes the process by which unacceptable performance will be identified and remedied.
Institucija opredeli merila, s katerimi oceni modele izpostavljenosti CCR, in modele, ki so vključeni v izračun izpostavljenosti, in ima zapisano politiko, s katero se opiše postopek, po katerem se opredelijo in popravijo nesprejemljivi rezultati.
An institution shall define how representative counterparty portfolios are constructed for the purposes of validating an CCR exposure model and its risk measures.
Institucija določi, kako se izgradijo reprezentativni portfelji nasprotne stranke za namene preverjanja modela izpostavljenosti CCR in merjenje tveganja.
The validation of CCR exposure models and their risk measures that produce forecast distributions shall consider more than a single statistic of the forecast distribution.
Ovrednotenje modelov izpostavljenosti CCR in njihovega merjenja tveganja, ki povzroči porazdelitev napovedi, upošteva več kot enkratno statistiko porazdelitve napovedi.
Validation requirements
Zahteve za ovrednotenje
As part of the initial and on-going validation of its CCR exposure model and its risk measures, an institution shall ensure that the following requirements are met:
Institucija kot del začetnega in sprotnega ovrednotenja svojega modela izpostavljenosti CCR in merjenja tveganja zagotovi, da so izpolnjene naslednje zahteve:
the institution shall carry out back-testing using historical data on movements in market risk factors prior to the permission by the competent authorities in accordance with Article 283(1).
preden pristojni organi izdajo dovoljenje v skladu s členom 283(1), institucija izvede testiranje za nazaj z uporabo zgodovinskih podatkov o gibanjih dejavnikov tržnega tveganja,.
That back-testing shall consider a number of distinct prediction time horizons out to at least one year, over a range of various initialisation dates and covering a wide range of market conditions;
To testiranje za nazaj upošteva številna različna časovna obdobja napovedi za vsaj eno leto, ki zajemajo vrsto različnih začetnih datumov in široko vrsto tržnih pogojev;
the institution using the approach set out in Article 285(1)(b) shall regularly validate its model to test whether realised current exposures are consistent with prediction over all margin periods within one year.
institucija, ki uporablja pristop iz člena 285(1)(b), redno izvaja ovrednotenje svojega modela, da bi preskusila, ali so realizirane tekoče izpostavljenosti skladne z napovedjo za vsa obdobja kritja znotraj enega leta.
If some of the trades in the netting set have a maturity of less than one year, and the netting set has higher risk factor sensitivities without these trades, the validation shall take this into account;
Če je zapadlost nekaterih poslov v nizu pobotov krajša od enega leta in je niz pobotov bolj občutljiv za tveganje brez teh poslov, ovrednotenje to upošteva;
it shall back-test the performance of its CCR exposure model and the model's relevant risk measures as well as the market risk factor predictions.
za nazaj preskusi delovanje modela izpostavljenosti CCR in ključne mere tveganja modela ter predvidevanja glede dejavnikov tržnega tveganja.
For collateralised trades, the prediction time horizons considered shall include those reflecting typical margin periods of risk applied in collateralised or margined trading;
Zadevna časovna obdobja napovedi za posle, zavarovane s premoženjem, vključujejo tista, ki odražajo tipična obdobja kritja za tveganje, ki se uporabljajo pri trgovanju, zavarovanim s premoženjem ali s kritjem.
if the model validation indicates that effective EPE is underestimated, the institution shall take the action necessary to address the inaccuracy of the model;
če ovrednotenje modela pokaže, da je efektivna EPE podcenjena, institucija sprejme potrebne ukrepe za odpravo nenatančnosti v modelu;
it shall test the pricing models used to calculate CCR exposure for a given scenario of future shocks to market risk factors as part of the initial and on-going model validation process.
v okviru postopka začetnega in sprotnega ovrednotenja modela testira modele za določanje cen, ki se uporabljajo za izračun izpostavljenosti CCR za dani scenarij prihodnjih šokov, ki jih povzročijo dejavniki tržnega tveganja,.
Pricing models for options shall account for the nonlinearity of option value with respect to market risk factors;
Modeli za določanje cen za opcije upoštevajo nelinearnost vrednosti opcije glede na dejavnike tržnih tveganj;
the CCR exposure model shall capture the transaction-specific information necessary to be able to aggregate exposures at the level of the netting set.
model izpostavljenosti CCR zajame informacije, specifične za posel, ki so potrebne za to, da se lahko seštejejo izpostavljenosti na ravni niza pobotov.
An institution shall verify that transactions are assigned to the appropriate netting set within the model;
Institucija preveri, ali so posli dodeljeni ustreznemu nizu pobotov znotraj modela;
the CCR exposure model shall include transaction-specific information to capture the effects of margining.
model izpostavljenosti CCR vključuje tudi informacije, specifične za posamezen posel, da zajame učinke kritja.
It shall take into account both the current amount of margin and margin that would be passed between counterparties in the future.
Upošteva tako tekočo vrednost kritja kakor tudi kritje, ki bi bilo izmenjano med nasprotnima strankama v prihodnosti.
Such a model shall account for the nature of margin agreements that are unilateral or bilateral, the frequency of margin calls, the margin period of risk, the minimum threshold of un-margined exposure the institution is willing to accept, and the minimum transfer amount.
Tak model upošteva naravo (enostranskih ali dvostranskih) dogovorov o kritju, pogostost pozivov k vplačilu kritja, obdobje kritja za tveganje, najnižji prag nepokrite izpostavljenosti, ki ga je institucija pripravljena sprejeti, in najnižji znesek prenosa.
Such a model shall either estimate the mark-to-market change in the value of collateral posted or apply the rules set out in Chapter 4;
Tak model bodisi ocenjuje spremembe tekočih tržnih vrednosti danega zavarovanja s premoženjem ali uporablja pravila iz poglavja 4;
the model validation process shall include static, historical back-testing on representative counterparty portfolios.
statično testiranje preteklih podatkov za nazaj na podlagi reprezentativnih portfeljev nasprotne stranke je sestavni del postopka ovrednotenja modela.
An institution shall conduct such back-testing on a number of representative counterparty portfolios that are actual or hypothetical at regular intervals.
Institucija redno izvaja tako testiranje podatkov za nazaj na več dejanskih ali hipotetičnih reprezentativnih portfeljih nasprotne stranke.
Those representative portfolios shall be chosen on the basis of their sensitivity to the material risk factors and combinations of risk factors to which the institution is exposed;
Ti reprezentativni portfelji se izberejo glede na njihovo občutljivost na pomembne dejavnike tveganja in kombinacije dejavnikov tveganja, ki jim je institucija izpostavljena;
an institution shall conduct back-testing that is designed to test the key assumptions of the CCR exposure model and the relevant risk measures, including the modelled relationship between tenors of the same risk factor, and the modelled relationships between risk factors;
institucija izvede testiranje za nazaj, ki je oblikovano za testiranje ključnih predpostavk modela izpostavljenosti CCR in zadevnih merjenj tveganja, vključno z modeliranim odnosom med roki zapadlosti istega dejavnika tveganja in modeliranimi odnosi med dejavniki tveganja;
the performance of CCR exposure models and its risk measures shall be subject to appropriate back-testing practice.
delovanje modela izpostavljenosti CCR in merjenja tveganja se ustrezno preveri za nazaj.
The back testing programme shall be capable of identifying poor performance in an EPE model's risk measures;
S programom testiranja za nazaj je mogoče ugotoviti, da meritve tveganja modela EPE niso bile najbolj uspešne;
an institution shall validate its CCR exposure models and all risk measures out to time horizons commensurate with the maturity of trades for which exposure is calculated using IMM in accordance to the Article 283;
institucija preveri svoje modele izpostavljenosti CCR in vsa merjenja tveganj do časovnih obdobij, ki sovpadajo z zapadlostjo poslov, za katere je izpostavljenost izračunana z uporabo IMM v skladu s členom 283;
an institution shall regularly test the pricing models used to calculate counterparty exposure against appropriate independent benchmarks as part of the on-going model validation process;
institucija redno testira modele za ocenjevanje, ki se uporabljajo za izračun izpostavljenosti nasprotne stranke, glede na ustrezna neodvisna merila kot del postopka sprotnega ovrednotenja modela;
the on-going validation of an institution's CCR exposure model and the relevant risk measures shall include an assessment of the adequacy of the recent performance;
sprotno ovrednotenje modela izpostavljenosti CCR institucije in zadevnih merjenj tveganja vključuje oceno ustreznosti najnovejših rezultatov;
the frequency with which the parameters of an CCR exposure model are updated shall be assessed by an institution as part of the initial and on-going validation process;
institucija kot del začetnega in sprotnega postopka ovrednotenja oceni pogostost, s katero so posodobljeni parametri modela izpostavljenosti CCR;
the initial and on-going validation of CCR exposure models shall assess whether or not the counterparty level and netting set exposure calculations of exposure are appropriate.
z začetnim in sprotnim ovrednotenjem modelov izpostavljenosti CCR se oceni, ali so raven nasprotne stranke in izračuni izpostavljenosti niza pobotov za izpostavljenosti ustrezni.
A measure that is more conservative than the metric used to calculate regulatory exposure value for every counterparty may be used in place of alpha multiplied by Effective EPE with the prior permission of the competent authorities.
Namesto alfe, pomnožene z efektivno EPE, se s predhodnim dovoljenjem pristojnih organov lahko uporabi mera, ki je bolj konzervativna od uporabljene metrike za izračun regulativne vrednosti izpostavljenosti za vsako nasprotno stranko.
The degree of relative conservatism will be assessed upon initial approval by the competent authorities and at the regular supervisory reviews of the EPE models.
Stopnja relativne konservativnosti se bo ocenila po začetni odobritvi pristojnih organov in ob rednih nadzorniških pregledih modelov EPE.
An institution shall validate the conservatism regularly.
Institucija izvaja redno ovrednotenje konservativnosti.
The on-going assessment of model performance shall cover all counterparties for which the models are used.
Stalna ocena delovanja modela zajema vse nasprotne stranke, za katere se uporabljajo modeli.
If back-testing indicates that a model is not sufficiently accurate, the competent authorities shall revoke its permission for the model, or impose appropriate measures to ensure that the model is improved promptly.
Če testiranje za nazaj pokaže, da model ni dovolj natančen, pristojni organi odvzamejo dovoljenje za uporabo modela ali naložijo ustrezne ukrepe, da zagotovijo takojšnjo izboljšavo modela.
Contractual netting
Pogodbeni pobot
Article 295
člen 295
Recognition of contractual netting as risk-reducing
Priznanjepogodbenega pobota za zmanjševanje tveganja
Institutions may treat as risk reducing in accordance with Article 298 only the following types of contractual netting agreements where the netting agreement has been recognised by competent authorities in accordance with Article 296 and where the institution meets the requirements set out in Article 297:
Institucije lahko samo naslednje vrste pogodbenega pobota obravnavajo kot dejavnike, ki zmanjšujejo tveganje, v skladu s členom 298, in kadar so pristojni organi v skladu s členom 296 priznali pogodbo o pobotu in kadar institucija izpolnjuje zahteve iz člena 297: