11. For the purposes of paragraph 2, point (f)(i), competent authorities may, where appropriate and where losses corresponding to changes in material non-modellable risk factors or non-modellable standardised buckets are highly non-linear:
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(a)
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require the institution to determine the stress period by maximising the value referred to in Article 12(1) of Delegated Regulation (EU) 2024/397 on a set of non-modellable risk factors or any non-modellable standardised bucket belonging to the same broad category of risk factors, using the pricing methods that the institution uses in the risk-measurement model in accordance with Article 13(2) of that Delegated Regulation;
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(b)
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require the institution to determine the stress period by maximising the value referred to in Article 12(1) of Delegated Regulation (EU) 2024/397 on the set referred to in point (a) of this paragraph, using sensitivity-based pricing methods in accordance with Article 13(4) of that Delegated Regulation;
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(c)
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assess whether the stress periods determined in accordance with points (a) and (b) materially differ.
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The set of non-modellable risk factors or non-modellable standardised buckets referred to in the first subparagraph, point (a), shall be chosen considering their materiality and the non-linear profile of the loss to changes in their values. To identify non-modellable risk factors or non-modellable standardised buckets with a non-linear loss profile, competent authorities may use as a basis the value of the non-linearity coefficient κ calculated in accordance with Article 17 or Article 18 of Delegated Regulation (EU) 2024/397.