5. Number of stressed periods to use for calibration

For the purposes of approval of the choice of the stressed period by institutions, a competent authority is the competent authority responsible for the exercise of supervision on a consolidated basis of this EU institution and, in the case of an internal model also recognised at a subsidiary’s level, the competent authority responsible for the exercise of supervision of this EU institution’s subsidiary.

When the competent authorities approve the stressed period defined at group level according to Article 37(2) of Directive 2006/49/EC referring to Article 129 of Directive 2006/48/EC, a single stressed period should only be required to be defined at group level.

As an exception from the above, the competent authorities should require an EU institution to determine a different stressed period at a subsidiary’s level if the stressed period defined for the group is not considered relevant to the subsidiary’s portfolio. Where a single group-wide stressed period is used in an institution that has a subsidiary with a locally approved VaR model, institutions should provide proof that this group-wide stressed period is relevant to the subsidiary’s portfolio.

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