25. The data inputs from the identified period of financial stress, referred to in Article …

The data inputs from the identified period of financial stress, referred to in Article 325bc(2)(c) of Regulation (EU) No 575/2013, should be calibrated to historical data from a continuous 12-month period of financial stress identified by the institution in accordance with that Article. Where, in exceptional cases, institutions use proxy data from the identified period of financial stress for the purpose of the calibration of those data inputs, in order to reflect the effect of fundamental changes that occurred in the characteristics of financial instruments compared to the characteristics that prevailed during the identified period of financial stress, the data inputs obtained as a result of this approach should be considered accurate only where all of the following conditions are met:

• (a) this approach is supported by convincing empirical evidence and objective data to justify the use of proxy data for the calibration of those data inputs;
• (b) those data inputs accurately reflect changes in prices of similar instruments during the identified period of financial stress;
• (c) those data inputs do not underestimate risk.

4.1.3 Data inputs used in Beta approximations or other random data-generating approaches

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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