Article 15
Circumstances for the calculation of a stress scenario risk measure for more than one non-modellable risk factor
The circumstances under which institutions may calculate a stress scenario risk measure for more than one non-modellable risk factor as referred to in Article 325bk(3), point (c), of Regulation (EU) No 575/2013 shall be the following:
|
(a) |
the risk factors belong to the same standardised bucket as referred to in Article 5(2) of Delegated Regulation (EU) 2022/2060; |
|
(b) |
institutions assessed the modellability of those risk factors, by determining the modellability of the standardised bucket to which they belong in accordance with Article 4(1) of Delegated Regulation (EU) 2022/2060. |