Article 44 2

(i)

verify whether the institution’s processes follow the criteria referred to in Article 1, point (a)(i), of Delegated Regulation (EU) 2024/397 as laid down in the internal policies referred to in Article 325bi(1), point (e), of Regulation (EU) No 575/2013;

(ii)

verify whether, the institution documents and justifies changes in the approach used for the calculation of the stress scenario risk measure, as required by Article 1, point (a)(ii), of Delegated Regulation (EU) 2024/397;

(iii)

verify whether there is any material difference between the stress scenario risk measure resulting, on the one hand, from the direct method and, on the other hand, the stepwise method, for the period of 20 business days referred to in Article 1, point (a)(iii) of Delegated Regulation (EU) 2024/397, and investigate the reasons for any material differences;

(i)

verify whether the institution’s processes follow the criteria referred to in Article 4, point (a)(i), of that Delegated Regulation, as laid down in the internal policies referred to in Article 325bi(1), point (e), of Regulation (EU) No 575/2013;

(ii)

verify whether the institution documents and justifies changes in the approach used for the calculation of the stress scenario risk measure, as required by Article 4, point (a)(ii), of Delegated Regulation (EU) 2024/397;

(iii)

verify whether there is any material difference between the stress scenario risk measure resulting, on the one hand, from the direct method and, on the other hand, the stepwise method, for the period of 20 business days referred to in Article 4, point (a)(iii), of Delegated Regulation (EU) 2024/397, and investigate the reasons for any material differences;

(i)

verify whether the institution does not include more than one observation per business day in the time series used to generate a stress scenario risk measure, and verify whether the time series includes actual market data only, as required by Article 7(1), point (a), of Delegated Regulation (EU) 2024/397;

(ii)

verify whether the criteria referred to in paragraph 1, point (d) to identify business and non-business days are used in the calculation of the 10 business days returns referred to in Article 7 of Delegated Regulation (EU) 2024/397 and in the extension of the stress period by up to 20 business days as referred to in Article 7(1), point (b), of that Regulation, and verify whether the steps to obtain the 10 business days returns, including the determination of D t' as referred to in Article 7(1), point (c), of that Delegated Regulation, are performed correctly;

(iii)

verify whether the time series of non-modellable risk factors that the institution previously assessed to be modellable in accordance with Article 325be of Regulation (EU) No 575/2013 include the observations that the institution used for calibrating the scenarios of future shocks referred to in Article 325bc of that Regulation, as required by Article 7(2) of Delegated Regulation (EU) 2024/397;

(i)

verify whether institutions can justify the scarce data availability for the non-modellable risk factors or non-modellable standardised buckets for which the institution uses the fallback method;

(ii)

verify whether there is an appropriate identification of risk factors for which the approach referred to in Article 10(2) and (3) of Delegated Regulation (EU) 2024/397 is to be used;

(iii)

verify whether, when applying the method referred to in Article 10(4) of Delegated Regulation (EU) 2024/397, the approach used by the institution to select a risk factor meeting the conditions referred to in paragraph 5 of that Article leads to the determination of upward and downward shocks that are suitable for risk factor for which the fallback approach is applied;

(i)

where the institution determines the stress period by maximising the value referred to in Article 12(1) of Delegated Regulation (EU) 2024/397 and using sensitivity-based pricing methods in accordance with Article 13(4) of that Delegated Regulation, verify the robustness of the analysis performed by the institution to demonstrate that the price changes that are not captured by the sensitivity-based pricing methods would not modify the stress period;

(ii)

where the institution determines the stress period for the non-modellable risk factors in a broad risk factor category by identifying the 12-month observation period maximising the partial expected shortfall measure PES RS, i in accordance with Article 12(2) of Delegated Regulation (EU) 2024/397, verify the robustness of the analysis performed by the institution to demonstrate that the stress period identified is a period of financial stress for its non-modellable risk factors;

(iii)

verify whether the 12-month rolling windows tested to determine the stress period starts at least from 1 January 2007 as referred to in Article 12(3) of Delegated Regulation (EU) 2024/397, and verify whether past updates of the stress period followed the frequency and criteria referred to in paragraph 1, point (g);

(i)

assess the robustness of the processes and methods for detecting pricing failures, identifying the financial instruments and commodities for which a pricing failure occurred, identifying the causes of the pricing failures, and determining their material sensitivities;

(ii)

verify whether, following the application of the extreme scenario of future shock to a non-modellable risk factor, the use of sensitivity-based pricing methods is applied only to financial instruments and commodity bearing that risk factor and subject to the pricing failures in accordance with Article 13(3) of Delegated Regulation (EU) 2024/397;

(i)

verify the appropriateness of the method that the institution uses to determine whether the maximum loss that may occur due to a change in a non-modellable risk factor or to a change in a non-modellable standardised bucket is finite or not;

(ii)

where the maximum loss corresponding to a non-modellable risk factor or a non-modellable bucket is finite, verify whether the institution identifies such maximum loss accurately;

(iii)

where the maximum loss that may occur due to a change in a non-modellable risk factor or to a change in a non-modellable standardised bucket is not finite, verify whether the distributional and statistical assumptions used in the expert-based approach referred to in Article 14(2), point (a), and Article 14(4) point (a) of Delegated Regulation (EU) 2024/397 are based on objective data and robust tests, and that the extreme scenario of future shock is sufficiently conservative;

(iv)

verify whether:

(v)

verify the robustness of the methodology and the statistical tests that the institution uses to identify risk factors reflecting idiosyncratic risk only in accordance with Article 16(3) and (4) of Delegated Regulation (EU) 2024/397.