2. For the purposes of paragraph 1, first subparagraph, point (a), the institution may run a back-testing programme that applies the following principles:
(a)
an overshooting is identified as a one-day change in HPLMRF or in
(b)
APLMRF that exceeds the value-at-risk number referred to in Article 325bf(6), point (a), of Regulation (EU) No 575/2013;
(c)
HPLMRF and APLMRF are calculated as follows:
Where:
—
HPL are the hypothetical changes in the portfolio’s value;
—
APL are the actual changes in the portfolio’s value;
—
RTPL are the risk-theoretical changes in the institution’s portfolio’s value;
—
RTPLMRF are the risk-theoretical changes in the institution’s portfolio’s value considering only changes to modellable risk factors;
(d)
the institution identifies potential weaknesses in its risk-measurement model by counting the overshootings, as identified in accordance with point (a), that occurred over the last 250 business days, and by comparing the amount of the identified overshootings against the thresholds referred to in Article 325bf(3), points (a) and (b), of Regulation (EU) No 575/2013.
