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Références LVL1 <=> LVL2
Level 1 reference(s): 2012R0648_EN.11 > 14#b
Article 17 - (Article 11(14)(b) of Regulation (EU) No 648/2012)
Criteria for using marking-to-model
For using marking-to-model, financial and non-financial counterparties shall have a model that:
(a)
incorporates all factors that counterparties would consider in setting a price, including using as much as possible marking-to-market information;
(b)
is consistent with accepted economic methodologies for pricing financial instruments;
(c)
is calibrated and tested for validity using prices from any observable current market transactions in the same financial instrument or based on any available observable market data;
(d)
is validated and monitored independently, by another division than the division taking the risk;
(e)
is duly documented and approved by the board of directors as frequently as necessary, following any material change and at least annually. This approval may be delegated to a committee.