(6)The Basel framework requires that institutions determine extreme scenarios of future shock by using the pricing methods of their risk measurement model, as those methods are used in the context of the back-testing and the profit and loss attribution test. There may be scenarios of future shock for which those pricing methods cannot determine the corresponding loss for some financial instruments or commodities. Where that is the case, institutions should act in a prudentially sound manner and target only those instruments that are affected by the pricing failure. The methodologies implemented by the institution to address those cases are not to affect in any way the results of the back-testing and the profit and loss attribution requirements laid down in Commission Delegated Regulation (EU) 2022/2059note.
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