Contents
Article 12Determination of the stress period#
1.Institutions shall determine the stress period for the non-modellable risk factors in a broad category of risk factors by identifying the 12-month observation period maximising the value obtained in accordance with following formula:j € i RSSjwhere:
—i denotes the broad risk factor category;
—j is the index denoting the non-modellable risk factors or the non-modellable standardised buckets for which the institution calculates the stress scenario risk measure belonging to the broad risk factor category i;
—RSSj is the rescaled stress scenario risk measure for the non-modellable risk factor or the non-modellable standardised bucket j calculated in accordance with Article 16.
2.By way of derogation from paragraph 1, institutions may determine the stress period for the non-modellable risk factors in a broad risk factor category by identifying the 12-month observation period maximising the partial expected shortfall measure PESRS,i referred to in Article 325bb(1) of Regulation (EU) No 575/2013. Where institutions apply this derogation, they shall provide evidence that the stress period identified represents a period of financial stress for its non-modellable risk factors. Institutions shall take into account how their portfolio is exposed to the non-modellable risk factors in the broad category of risk factors.
3.When determining the stress period, institutions shall use an observation period starting at least from 1 January 2007, to the satisfaction of the competent authorities.
4.Institutions shall review the stress period identified at least with a quarterly frequency.
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