Contents
4.By way of derogation from paragraph 2, institutions may, only for the purpose of determining the stress period in accordance with Article 12(1), calculate the loss corresponding to a scenario of future shock applied to one or more non-modellable risk factors using sensitivity-based pricing methods. Institutions shall demonstrate that the price changes that are not captured by the sensitivity-based pricing methods would not modify the stress period identified by the institution.
Source: EUR-Lex, © European Union, 1998-2026. Reuse authorised under Decision 2011/833/EU.