Article 82
Adequacy of the validation function
When assessing the adequacy of the validation function with regard to the requirements laid down in point (f) of Article 144(1) and Article 188 of Regulation (EU) No 575/2013, competent authorities shall apply Articles 10 to 13 and shall verify that:
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(a) |
the institution compares the first percentile of the actual equity returns with the modelled estimates at least on a quarterly basis; |
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(b) |
the comparison referred to in point (a) makes use of an observation period equal at least to one year and of a time horizon that allows the computation of the first percentile based on non-overlapping observations; |
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(c) |
where the percentage of observations below the estimated first percentile of equity returns is above 1 %, this is adequately justified and relevant remedial actions are taken by the institution. |