10. For the purposes of paragraph 2, point (e), competent authorities may, on a sample of risk factors and standardised buckets:
(a)
assess whether the non-linearity coefficient is equal to κmin or κmax because extremely high or extremely low values characterise the numerator or denominator of the following term
as used in the computation of κ in accordance with Articles 17 and 18 of Delegated Regulation (EU) 2024/397;
(b)
require the institution to plot the loss resulting from risk factor changes in the neighbourhood of the extreme scenario of future shock and assess whether the profile of the loss function is particularly concave or convex in that neighbourhood.
When performing such assessment, competent authorities shall choose the set of non-modellable risk factors and standardised buckets considering their materiality.
