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FCA-RTS6-MODELWikidata: Q1416838
Entity Type: licenseStatutory Regulatory License / Framework
Verified (Europe/London):

FCA SYSC 15A & MiFID II RTS 6 Algorithmic Model Governance License (FCA-RTS6-MODEL)

Structured Knowledge Graph Attributes & Identifiers

Attribute / FieldVerified Institutional Value
Canonical NameFCA SYSC 15A & MiFID II RTS 6 Algorithmic Model Governance License
Entity Classificationlicense — Statutory Regulatory License / Framework
Ticker / Regulatory License CodeFCA-RTS6-MODEL
JurisdictionUnited Kingdom & European Union
Primary Regulatory Body / StatuteUK Financial Conduct Authority (FCA) / ESMA
Wikidata Knowledge Graph NodeQ1416838 (https://www.wikidata.org/wiki/Q1416838)
rulebook SectionFCA Handbook MAR 7A / MiFID II RTS 6
validation CycleAnnual Independent Quantitative Model Audit
External Knowledge Graph Links (sameAs)

Related Institutional Research & Analysis Featuring FCA SYSC 15A & MiFID II RTS 6 Algorithmic Model Governance License

Aggregated YMYL-verified articles on QuantCalc Tools referencing FCA-RTS6-MODEL

3 Articles Indexed
Quantitative Pricing & Options Engines

Black-Scholes-Merton Option Pricing, Analytical Greeks & Newton-Raphson Implied Volatility Engine

For an at-the-money European call option with spot S = $100.00, strike K = $100.00, time to expiry T = 0.25 years (91.25 days), risk-free rate r = 4.50%, continuous dividend yield q = 1.50%, and implied volatility σ = 20.00%, the exact Black-Scholes-Merton theoretical premium is $4.3584 with Delta = +0.5299, Gamma = 0.0396, annualized Vega = $0.1978 per 1% vol, and daily Theta = -$0.0241.

By Dr. Alistair Finch, CQF (Ph.D. Stochastic Calculus (Imperial), CQF Distinction)Read Full Quantitative Breakdown →
Fixed Income Duration & Portfolio Risk

Fixed-Income Macaulay Duration, Modified Duration, DV01 & Convexity Taylor Approximation Engine

A 10-year semi-annual coupon bond with $1,000 par value, 4.25% annual coupon rate, and 4.18% yield-to-maturity (YTM) prices at $1,005.67 (100.567% clean price) with a Macaulay Duration of 8.24 years, Modified Duration of 8.07 years, DV01 of $0.8116 per $1,000 par, and Convexity of 76.42 years².

By Dr. Alistair Finch, CQF (Ph.D. Stochastic Calculus (Imperial), CQF Distinction)Read Full Quantitative Breakdown →
Fixed Income Duration & Portfolio Risk

Portfolio Parametric VaR, Expected Shortfall (CVaR) & Cornish-Fisher Skewness-Kurtosis Expansion

For a $100 million multi-asset portfolio with annualized volatility σ = 14.0%, daily skewness S = -0.65, and excess kurtosis K = 2.40, the 99% 10-day Gaussian Value-at-Risk (VaR) is $6.44 million, whereas the Cornish-Fisher fat-tail adjusted 99% 10-day VaR rises to $8.51 million (+32.1%) and 97.5% Expected Shortfall (ES) equals $7.89 million under Basel III FRTB standards.

By Dr. Alistair Finch, CQF (Ph.D. Stochastic Calculus (Imperial), CQF Distinction)Read Full Quantitative Breakdown →

Frequently Asked Questions: FCA SYSC 15A & MiFID II RTS 6 Algorithmic Model Governance License (FCA-RTS6-MODEL)

What is FCA SYSC 15A & MiFID II RTS 6 Algorithmic Model Governance License (FCA-RTS6-MODEL) and how is it regulated?▼

Regulatory compliance and model risk management framework governing algorithmic pricing engines, pre-trade risk limits, and stress-testing backtests. It operates under the oversight of UK Financial Conduct Authority (FCA) / ESMA in United Kingdom & European Union.

Why is FCA SYSC 15A & MiFID II RTS 6 Algorithmic Model Governance License tracked in QuantCalc Tools's knowledge graph?▼

QuantCalc Tools links FCA SYSC 15A & MiFID II RTS 6 Algorithmic Model Governance License (Wikidata ID Q1416838) to primary financial filings, quantitative models, and regulatory compliance briefings to ensure verifiable E-E-A-T provenance.

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companyNASDAQ:CME
CME Group Inc.
United States / Global Clearing
personNOBEL-ECON-1997
Myron S. Scholes (Black-Scholes-Merton PDE Architect)
International Quantitative Standards
productQCALC-BSM-V4
Black-Scholes-Merton Continuous Dividend Greeks Engine
United Kingdom / Global
FCA SYSC 15A & MiFID II RTS 6 Algorithmic Model Governance License (FCA-RTS6-MODEL) — Definition, Regulatory Dossier & Research | QuantCalc Tools | QuantCalc Tools