natgillin/translations-raw huggingface dataset:
V vsakem primeru mora biti uporaba modelov za izvajanje nadzora nad kapitalom priznana s strani pristojnih organov.
Explicit recognition by the competent authorities of the use of models for supervisory capital purposes shall be required in each case.
) institucija ima enoto za upravljanje s tveganji, ki deluje neodvisno od enot, ki se ukvarjajo s trgovanjem in poroča neposredno višjemu vodstvu institucije.
the institution has a risk control unit that is independent from business trading units and reports directly to senior management.
Enota mora biti odgovorna za oblikovanje in vzpostavitev notranjega modela institucije.
The unit must be responsible for designing and implementing the institution's risk-management system.
Pripravlja in analizira dnevna poročila o rezultatih notranjega modela, ter o ustreznih ukrepih glede trgovalnih limitov.
It shall produce and analyse daily reports on the output of the risk-measurement model and on the appropriate measures to be taken in terms of trading limits.
Testiranje izjemnih situacij se nanaša zlasti na nelikvidnost trgov v izjemnih tržnih pogojih, tveganje koncentracije, enosmerne trge, tveganje neplačila in tveganje skokovitega naraščanja verjetnosti neplačila, nelinearnost produktov, pozicije, ki se jih ne izplača izvršiti, pozicije, ki so predmet velikega cenovnega razkoraka in druga tveganja, ki niso ustrezno zajeta z notranjim modelom.
This process shall particularly address illiquidity of markets in stressed market conditions, concentration risk, one way markets, event and jump-to-default risks, non-linearity of products, deep out-of-the-money positions, positions subject to the gapping of prices and other risks that may not be captured appropriately in the internal models.
Testiranje izjemnih situacij mora odražati značilnosti portfeljev in čas, ki bi bil potreben za uvedbo varovanja ali upravljanja s tveganji pri zelo slabih tržnih pogojih; in
The shocks applied shall reflect the nature of the portfolios and the time it could take to hedge out or manage risks under severe market conditions; and
regled iz točke (h) prvega pododstavka pokriva tako delovanje enot, ki se ukvarjajo s trgovanjem in neodvisne enote za upravljanje s tveganji.
The review referred to in point (h) of the first paragraph shall include both the activities of the business trading units and of the independent risk-control unit.
Najmanj enkrat na leto mora institucija opraviti celovit pregled sistema upravljanja s tveganji.
At least once a year, the institution must conduct a review of its overall risk-management process.
Pregled vključuje naslednje:
The review shall consider the following:
ustreznost dokumentiranosti sistema in procesov upravljanja s tveganji in organizacije enote za upravljanje s tveganji;
the adequacy of the documentation of the risk-management system and process and the organisation of the risk-control unit;
vključenost merjenja tržnih tveganj v dnevno upravljanje s tveganji in celovitost sistema obveščanja vodstva;
the integration of market risk measures into daily risk management and the integrity of the management information system;
proces, ki ga institucija uporablja za odobravanje cenovnih modelov in sistemov vrednotenja, ki jih uporabljajo zaposleni v enoti za trgovanje in zaledni službi;
the process the institution employs for approving risk-pricing models and valuation systems that are used by front and back-office personnel;
obseg tržnih tveganj, zajetih v notranje modele in ovrednotenje vseh pomembnejših sprememb v notranjem modelu;
the scope of market risks captured by the risk-measurement model and the validation of any significant changes in the risk-measurement process;
natančnost in popolnost podatkov o pozicijah, natančnost in primernost predpostavk za določanje nestanovitnosti in korelacij ter natančnost vrednotenja in izračunov občutljivosti na tveganje;
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;
proces preverjanja doslednosti, pravočasnosti, neodvisnosti in zanesljivosti virov podatkov, na katerih temeljijo notranji modeli; in
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; and
proces za preverjanje testiranja za nazaj, s pomočjo katerega se ocenjuje natančnost notranjega modela.
the verification process the institution uses to evaluate back-testing that is conducted to assess the models' accuracy.
Institucije imajo vzpostavljene procese, da zagotovijo, da njihove interne modele primerno ovrednoteni s strani ustrezno kvalificiranih oseb, neodvisno od procesa razvoja modelov, da zagotovijo, da so konceptualno ustrezni in primerno zajemajo vsa bistvena tveganja.
Institutions shall have processes in place to ensure that their internal models 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.
Ovrednotenje se izvede ob začetku uporabe modelov in ob vseh večjih spremembah notranjih modelov.
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 izvaja tudi periodično, zlasti ko pride do večjih strukturnih sprememb na trgu ali v primeru sprememb sestave portfelja, zaradi česar notranji modeli morda niso več ustrezni.
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.
Institucije uporabljajo razvoj tehnik in dobre prakse.
As techniques and best practices evolve, institutions shall avail themselves of these advances.
Ovrednotenje notranjih modelov ni omejeno na testiranje za nazaj ampak vključuje pa najmanj naslednje:
Internal model validation shall not be limited to back-testing, but shall, at a minimum, also include the following:
testiranja, ki dokazujejo, da so vse predpostavke v zvezi z notranjimi modeli ustrezne, in da ne podcenjujejo ali precenjujejo tveganja;
tests to demonstrate that any assumptions made within the internal model are appropriate and do not underestimate or overestimate the risk;
poleg zakonsko določenih programov testiranja za nazaj, institucije izvajajo lastna testiranja za ovrednotenje notranjih modelov v zvezi s tveganji in strukturami svojih portfeljev; in
in addition to the regulatory back-testing programmes, institutions shall carry out their own internal model validation tests in relation to the risks and structures of their portfolios; and
uporabo hipotetičnih portfeljev, da se dokaže, da so notranji modeli zmožni upoštevati posebne strukturne okoliščine, ki bi lahko nastale, kot sta na primer večje bazično tveganje in tveganje koncentracije.
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.
Institucija natančnost in izvajanje svojih notranjih modelov spremlja s testiranjem za nazaj.
The institution shall monitor the accuracy and performance of its model by conducting a back-testing programme.
Testiranje za nazaj mora za vsak delovni dan zagotoviti primerjavo med enodnevno mero tvegane vrednosti, izračunano na podlagi notranjega modela institucije za izračun pozicij portfelja ob koncu dneva in enodnevno spremembo vrednosti portfelja.
The back-testing has to provide for each business day a comparison of the one-day value-at-risk measure generated by the institution's model for the portfolio's end-of-day positions to the one-day change of the portfolio's value by the end of the subsequent business day.
Pristojni organi preverijo sposobnost institucije, da izvaja testiranje za nazaj za dejanske in hipotetične spremembe vrednosti portfelja.
Competent authorities shall examine the institution's capability to perform back-testing on both actual and hypothetical changes in the portfolio's value.
Testiranje hipotetične spremembe vrednosti portfelja za nazaj temelji na primerjavi med zaključno dnevno vrednostjo portfelja in, ob nespremenjenih pozicijah, njegovo vrednostjo ob koncu naslednjega dne.
Back-testing on hypothetical changes in the portfolio's value is based on a comparison between the portfolio's end-of-day value and, assuming unchanged positions, its value at the end of the subsequent day.
Pristojni organi od institucij zahtevajo, da sprejmejo potrebne ukrepe za izboljšanje svojih programov testiranja za nazaj, če so ti pomanjkljivi.
Competent authorities shall require institutions to take appropriate measures to improve their back-testing programme if deemed deficient.
Pristojni organi lahko od institucij zahtevajo, da izvedejo testiranje za nazaj tako na rezultate hipotetičnega portfelja trgovanja (z uporabo sprememb vrednosti portfelja, ki bi nastale, če bi pozicije ob zaključku dneva ostale nespremenjene) kakor tudi na rezultate dejanskih dnevnih dobičkov in izgub iz trgovanja (brez odpravnin, provizij in čistih prihodkov iz obresti), ali za oboje.
Competent authorities may require institutions to perform back-testing on either hypothetical (using changes in portfolio value that would occur were end-of-day positions to remain unchanged), or actual trading (excluding fees, commissions, and net interest income) outcomes, or both.
Za izračun kapitalske zahteve za posebno tveganje iz naslova dolžniških in lastniških finančnih instrumentov lahko pristojni organi priznajo instituciji uporabo notranjih modelov, če notranji modeli v skladu s pogoji iz te priloge izpolnjujejo naslednje pogoje:
For the purpose of calculating capital requirements for specific risk associated with traded debt and equity positions, the competent authorities may recognise the use of an institution's internal model if, in addition to compliance with the conditions in the remainder of this Annex, the internal model meets the following conditions:
odražajo preteklo variabilnost cen, ki so zajete v portfelju;
it explains the historical price variation in the portfolio;
morajo zajeti koncentracijo v smislu velikosti portfelja in spremembe sestave portfelja;
it captures concentration in terms of magnitude and changes of composition of the portfolio;
ustrezno delujejo v škodljivem okolju, morajo biti robustni v primeru neugodnih tržnih gibanj;
it is robust to an adverse environment;
ustreznost modelov se preverja in potrjuje skozi testiranje za nazaj, katerega namen je oceniti, ali se posebno tveganje zajema natančno.
it is validated through back-testing aimed at assessing whether specific risk is being accurately captured.
Če pristojni organi dovolijo, da se to testiranje za nazaj izvaja na podlagi ustreznih podportfeljev, mora biti izbira teh dosledna;
If competent authorities allow this back-testing to be performed on the basis of relevant sub-portfolios, these must be chosen in a consistent manner;
da zajamejo bazično tveganje, to je, da institucije dokažejo, da so notranji modeli občutljivi na bistvene značilne razlike med sicer podobnimi, vendar ne identičnimi pozicijami; in
it captures name-related basis risk, that is institutions shall demonstrate that the internal model is sensitive to material idiosyncratic differences between similar but not identical positions; and
da zajamejo tveganje nastanka nepričakovanih neugodnih dogodkov (event risk).
it captures event risk.
Institucija mora izpolniti tudi naslednje pogoje:
The institution shall also meet the following conditions:
Če je institucija izpostavljena tveganju nastanka nepričakovanih neugodnih dogodkov (event risk), ki ni zajeto v njeni meri tvegane vrednosti – (VaR), ker presega 10-dnevno obdobje posedovanja in 99-odstotni enostranski interval zaupanja (dogodki "majhna verjetnost – velik vpliv"), institucija zagotovi, da je vpliv takih dogodkov vključen v oceni njenega ekonomskega kapitala; in
where an institution is subject to event risk that is not reflected in its value-at-risk measure, because it is beyond the 10-day holding period and 99 percent confidence interval (low probability and high severity events), the institution shall ensure that the impact of such events is factored in to its internal capital assessment; and
notranji modeli institucije morajo konzervativno oceniti tveganja, ki izhajajo iz manj likvidnih pozicij in pozicij z omejeno preglednostjo cen na podlagi realističnih tržnih scenarijev.
the institution's internal model shall conservatively assess the risk arising from less liquid positions and positions with limited price transparency under realistic market scenarios.
Poleg tega morajo notranji modeli izpolniti tudi minimalne standarde, ki se nanašajo na podatke.
In addition, the internal model shall meet minimum data standards.
Približki podatkov (proxies) so ustrezno konzervativni in se lahko uporabijo samo, če so razpoložljivi podatki nezadostni ali ne odražajo resnične nestanovitnosti pozicije ali portfelja.
Proxies shall be appropriately conservative and may be used only where available data is insufficient or is not reflective of the true volatility of a position or portfolio.
Institucije pri uporabi notranjih modelov upoštevajo razvoj tehnik in dobre prakse , takoj ko so na voljo.
Further, as techniques and best practices evolve, institutions shall avail themselves of these advances.
Poleg tega ima institucija vzpostavljeno metodo, ki zajema, pri izračunu kapitalskih zahtev, tveganje neplačila svojih pozicij v trgovalni knjigi, ki preseže tveganje neplačila, zajeto v izračunu na podlagi tvegane vrednosti, kakor je določeno v prejšnjih zahtevah iz tega odstavka.
In addition, the institution shall have an approach in place to capture, in the calculation of its capital requirements, the default risk of its trading book positions that is incremental to the default risk captured by the value-at-risk measure as specified in the previous requirements of this point.
Da bi se kreditna institucija izognila dvojnemu štetju pri izračunu dodatne kapitalske zahteve za tveganje neplačila, lahko upošteva obseg, v katerem je bilo tveganje neplačila že vključeno v izračun tvegane vrednosti, zlasti za tveganost pozicij, ki bi lahko bile in bi bile zaprte v 10 dneh v primeru neugodnih razmer na trgu ali drugih znakov poslabšanja kreditnega okolja.
To avoid double counting, an institution may, when calculating its incremental default risk charge, take into account the extent to which default risk has already been incorporated into the value-at-risk measure, especially for risk positions that could and would be closed within 10 days in the event of adverse market conditions or other indications of deterioration in the credit environment.
Če institucija izračuna dodatno kapitalsko zahtevo za presežno tveganje neplačila, mora imeti vzpostavljene metodologije za potrjevanje izračuna.
Where an institution captures its incremental default risk through a surcharge, it shall have in place methodologies for validating the measure.
Institucija mora dokazati, da njen pristop izpolnjuje standarde ustreznosti na način primerljiv kot pristop, določen v členih 84 do 89 Direktive 2006/.../ES
The institution shall demonstrate that its approach meets soundness standards comparable to the approach set out in Articles 84 to 89 of Directive 2006/.../EC
, pod predpostavko nespremenjene stopnje tveganja, in da se po potrebi prilagaja z upoštevanjem vpliva likvidnosti, koncentracij, varovanja in raznolikosti (optionality).
, under the assumption of a constant level of risk, and adjusted where appropriate to reflect the impact of liquidity, concentrations, hedging and optionality.
V zvezi z pozicijami v denarnih sredstvih ali sintetičnih izpostavljenostih listinjenja, za katere bi se uporabljal odbitek na podlagi obravnave, določene v členu 66(2) Direktive 2006/.../ES
With respect to cash or synthetic securitisation exposures that would be subject to a deduction treatment under the treatment set out in Article 66(2) of Directive 2006/.../EC
, ali ki se tehtajo z utežjo tveganja 1 250 %, kakor je določeno v delu 4 Priloge IX k navedeni direktivi, se za te pozicije uporablja kapitalska zahteva, ki ni manjša od zahteve, opredeljene v okviru navedene obravnave.
, or risk-weighted at 1,250% as set out in Part 4 of Annex IX to that Directive, these positions shall be subject to a capital charge that is no less than set forth under that treatment.
Institucije, ki trgujejo s takimi izpostavljenostmi, lahko uporabijo drugačno obravnavo, pri čemer morajo biti zmožne pristojnim organom poleg namena trgovanja dokazati tudi, da za izpostavljenosti listinjenja ali, v primeru sintetičnih listinjenj, ki se opirajo izključno na kreditne izvedene finančne instrumente, za izpostavljenosti listinjenja kot take ali za njihove sestavne dele tveganja (risk components), obstaja dvosmerni likvidni trg.
Institutions that are dealers in these exposures may apply a different treatment where they can demonstrate to their competent authorities, in addition to trading intent, that a liquid two-way market exists for the securitisation exposures or, in the case of synthetic securitisations that rely solely on credit derivatives, for the securitisation exposures themselves or all their constituent risk components.
Za namene tega oddelka se šteje, da dvosmerni trg obstaja, če obstajajo neodvisne ponudbe v dobri veri za nakup ali prodajo, tako da se lahko cena, ki je razumno povezana z zadnjo prodajno ceno ali v dobri veri s trenutno konkurenčno ponudbo oz. kotacijo povpraševanja, določi v enem dnevu in po tej ceni tudi poravna v razmeroma kratkem času v skladu s trgovalnimi običaji.
For the purposes of this section a two-way market is deemed to exist where there are independent good faith offers to buy and sell so that a price reasonably related to the last sales price or current good faith competitive bid and offer quotations can be determined within one day and settled at such a price within a relatively short time conforming to trade custom.
Da lahko institucija uporabi to izjemo, mora imeti tudi dovolj tržnih podatkov, da zagotovi, da v celoti zajame koncentrirano tveganje neplačila pri teh izpostavljenosti v svojih notranjih modelih za merjenje presežnega tveganja neplačila v skladu z zgoraj navedenimi standardi.
For an institution to apply a different treatment, it shall have sufficient market data to ensure that it fully captures the concentrated default risk of these exposures in its internal approach for measuring the incremental default risk in accordance with the standards set out above.
Institucije, ki uporabljajo notranje modele, ki niso priznani v skladu z odstavkom 4, so predmet dodatne kapitalske zahteve za posebno tveganje, ki se izračuna v skladu s Prilogo I.
Institutions using internal models which are not recognised in accordance with point 4 shall be subject to a separate capital charge for specific risk as calculated according to Annex I.
Za namene odstavka 9(b) se rezultati notranjih modelov institucije razvrstijo po multiplikatorju, ki je najmanj 3.
For the purposes of point 9(b), the results of the institution's own calculation shall be scaled up by a multiplication factor of at least 3.
Multiplikator se poveča za plus faktor med 0 in 1 v skladu s tabelo 1, v odvisnosti od števila preseganj za zadnjih 250 delovnih dni, ugotovljenih s testiranjem za nazaj, ki ga opravi institucija.
The multiplication factor shall be increased by a plus-factor of between 0 and 1 in accordance with Table 1, depending on the number of overshootings for the most recent 250 business days as evidenced by the institution's back-testing.
Pristojni organi zahtevajo, da institucije dosledno izračunavajo ta preseganja s testiranjem za nazaj na podlagi dejanskih ali hipotetičnih sprememb vrednosti portfelja.
Competent authorities shall require the institutions to calculate overshootings consistently on the basis of back-testing either on actual or on hypothetical changes in the portfolio's value.
Za določitev plus faktorja je treba število preseganj ugotavljati konsistentno vsaj četrtletno.
For the purpose of determining the plus-factor the number of overshootings shall be assessed at least quarterly.
Število preseganj
Number of overshootings
manj kot 5
Fewer than 5
10 ali več
10 or more
Če veliko število preseganj kaže, da notranji model ni zadosti natančen, pristojni organi lahko notranjemu modelu odvzamejo soglasje o primernosti notranjega modela ali uveljavijo primerne ukrepe, s katerimi zagotovijo primerno izboljšanje notranjega modela.
If numerous overshootings indicate that the model is not sufficiently accurate, the competent authorities shall revoke the model's recognition or impose appropriate measures to ensure that the model is improved promptly.
Zaradi možnosti pristojnih organov, da stalno spremljajo ustreznost plus faktorja, morajo institucije nemudoma in v vsakem primeru najkasneje v petih delovnih dneh obvestiti pristojne organe o preseganjih, ugotovljenih na podlagi testiranja za nazaj, ki bi po zgornji tabeli pomenilo povečanje plus faktorja.
In order to allow competent authorities to monitor the appropriateness of the plus-factor on an ongoing basis, institutions shall notify promptly, and in any case no later than within five working days, the competent authorities of overshootings that result form their back-testing programme and that would according to the above table imply an increase of a plus-factor.
) povprečja dnevnih mer tvegane vrednosti na vsakega od predhodnih 60 delovnih dni, pomnoženega s faktorjem, navedenim v odstavku 7 in prilagojeno za faktor, naveden v odstavku 8, ki se mu po potrebi prišteje dodatna kapitalska zahteva za presežno tveganje neplačila, zahtevana v skladu z odstavkom 5.
an average of the daily value-at-risk measures on each of the preceding 60 business days, multiplied by the factor mentioned in point 7, adjusted by the factor referred to in point 8 plus, where appropriate, the incremental default risk charge required under point 5.
) ažuriranje podatkov vsaj četrtletno.
three-monthly data set updates.
Pristojni organi zahtevajo, da notranji modeli natančno zajemajo vsa materialno pomembna cenovna tveganja iz naslova opcij ali opcijam podobnih instrumentov in da se druga tveganja, ki jih model ne zajema, ustrezno krijejo iz lastnih sredstev institucije.
The competent authorities shall require that the model captures accurately all the material price risks of options or option-like positions and that any other risks not captured by the model are covered adequately by own funds.
odeli za merjenje tveganj vključijo niz dejavnikov tveganja, ki ustrezajo obrestnim meram v posamezni valuti , v kateri ima institucija obrestno občutljive bilančne ali zunajbilančne postavke.
The risk-measurement system shall incorporate a set of risk factors corresponding to the interest rates in each currency in which the institution has interest rate sensitive on- or off-balance sheet positions.
Institucija mora izdelati krivulje donosnosti s pomočjo splošno sprejetih metodologij.
The institution shall model the yield curves using one of the generally accepted approaches.
Za materialno pomembne izpostavljenosti obrestnemu tveganju v pomemebnih valutah in na pomembnih trgih, se krivulja donosnosti po zapadlosti razdeli na najmanj šest razredov tako, da zajame spremembe nestanovitnosti obrestnih mer na krivulji donosnosti.
For material exposures to interest-rate risk in the major currencies and markets, the yield curve shall be divided into a minimum of six maturity segments, to capture the variations of volatility of rates along the yield curve.
Notranji modeli morajo zajeti tudi tveganje ne nepopolnih korelacijskih gibanj različnih krivulj donosnosti.
The risk-measurement system must also capture the risk of less than perfectly correlated movements between different yield curves.
Za CIU se upoštevajo dejanske pozicije CIU v tujih valutah.
For CIUs the actual foreign exchange positions of the CIU shall be taken into account.