Article 17
Non-linearity coefficient for a single risk factor
Where the stress scenario risk measure for which institutions are determining the non-linearity coefficient has been determined for a single risk factor, such non-linearity coefficient shall be determined as follows:
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(a) |
where the extreme scenario of future shock for the non-modellable risk factor does not coincide with either the downward calibrated shock or the upward calibrated shock determined in accordance with Article 3(1), point (b), institutions shall set
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(b) |
where the extreme scenario of future shock for the non-modellable risk factor coincides with the downward calibrated shock determined in accordance with Article 3(1), point (b), institutions shall calculate the non-linearity coefficient in accordance with the following formula:
where:
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(c) |
where the extreme scenario of future shock for the non-modellable risk factor coincides with the upward calibrated shock determined in accordance with Article 3(1), point (b), institutions shall calculate the non-linearity coefficient in accordance with the following formula:
where:
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