1. When assessing whether an institution’s internal model is implemented with integrity as required by Article 325bi(1) of Regulation (EU) No 575/2013 in relation to the calculation of the unconstrained expected shortfall measures and of the partial expected shortfall measures for all broad categories of risk factors at a reduced frequency as referred to in Article 325bb(4) of Regulation (EU) No 575/2013, competent authorities shall:
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(a)
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analyse the process that the institution uses to determine the day of the week when the measures are computed;
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(b)
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verify that a reduction in the calculation frequency does not lead to an underestimation of risk.
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