Contents
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.
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