Contents
- 1. Under the fallback method, institutions shall determine th…
- 2. Where the non-modellable risk factor is equal to one of th…
- 3. Where the non-modellable risk factor is a point of a curve…
- 4. Where the non-modellable risk factor does not meet the con…
- 5. The risk factor to be selected in accordance with paragrap…
- 6. Under the method referred to in paragraph 4, institutions…
- 7. By way of derogation from paragraph 6, points (b)(i) and (…
5.The risk factor to be selected in accordance with paragraph 4 shall meet all of the following conditions:
(a)it belongs to the same broad risk factor category and broad sub-category of risk factors referred to in Article 325bd of Regulation (EU) No 575/2013 of the non-modellable risk factor;
(b)it is of the same nature as the non-modellable risk factor;
(c)it differs from the non-modellable risk factor for features that do not lead to an underestimation of the volatility of the non-modellable risk factor, including under stress conditions;
(d)its time series of 10 business days returns referred to in paragraph 6, point (a), contains at least 12 returns.
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