Article 20
Calculation of the uncertainty compensation factor
1. Where the stress scenario risk measure for which the institutions are determining the uncertainty compensation factor (UCF) has been determined for a single risk factor, the uncertainty compensation factor shall be equal to:
where:
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N is the number of losses in the time series referred to in Article 2(1), point (a)(iii), from which the extreme scenario of future shock has been determined for the non-modellable risk factor in accordance with that Article. |
2. Where the stress scenario risk measure for which the institutions are determining the uncertainty compensation factor has been determined for a non-modellable standardised bucket, the uncertainty compensation factor shall be equal to:
where:
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N is the number of losses in the time series referred to in Article 5(1), point (a)(iv), from which the extreme scenario of future shock has been determined for the non-modellable bucket in accordance with that Article. |