28. Where a given risk factor in the institution’s internal model has been obtained by …

Where a given risk factor in the institution’s internal model has been obtained by extrapolating from risk factors that may or may not be incorporated in the institution’s internal model, and the data inputs for the given risk factor in the internal model are obtained by extrapolating from data inputs corresponding to those risk factors, the obtained data inputs should be considered accurate only if all the following conditions are met:

• (a) the extrapolation is based on data inputs of the closest modellable risk factor in each dimension of the given risk factor;
• (b) the extrapolation is based on data inputs of at least two modellable risk factors for each dimension of the given risk factor;
• (c) the data inputs corresponding to the two modellable risk factors referred to in point (b), including the data inputs of the closest modellable risk factor, should not have been obtained by extrapolation themselves.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/