Article 6
Criteria for the assessment of the modellability of risk factors representing function parameters of a parametric curve, a surface or a cube
Institutions that use one or more parametric functions to represent a curve, a surface or a cube and incorporate the function parameters as risk factors in their internal risk-measurement models shall assess the modellability of those function parameters by applying for each parametric function the following steps in the following order:
those institutions identify the set of points of the curve, the surface or the cube that were used to calibrate the parametric function;
those institutions apply the bucketing approach set out in Article 5(2) as if the risk factors in their risk-measurement model were the points identified pursuant to point (a);
those institutions assess, in accordance with Article 4, paragraphs 2 and 3, the modellability of the buckets resulting from the application of the bucketing approach set out in Article 5(2), as if the risk factors in their risk-measurement model were the points identified in accordance with point (a).