+Article 325bb 4.

Article 325bb 4.

By way of derogation from paragraph 1, an institution may reduce the frequency of the calculation of the unconstrained expected shortfall measures

and of the partial expected shortfall measures

and

for all broad risk factor categories i from daily to weekly, provided that both of the following conditions are met:

(a)

the institution is able to demonstrate to its competent authority that calculating the unconstrained expected shortfall measure

does not underestimate the market risk of the relevant trading book positions;

(b)

the institution is able to increase the frequency of calculation of

and

from weekly to daily where required by its competent authority.

1. Áttekintés

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