(3)Given its accuracy, one method to determine the extreme scenario of future shock for a non-modellable risk factor should consist of directly calculating the expected shortfall measure of the losses that would occur when applying a shock to that non-modellable risk factor with the historically observed levels during the relevant stress period. However, such method would provide reliable results only where the institution has a significant amount of data for that stress period, and would require many loss calculations per risk factor leading to a high computational effort. It is therefore necessary to provide for an alternative method that requires a significant lower number of loss calculations and applies a stepwise approach. Under that alternative method, institutions should first calculate an expected shortfall measure on the returns observed for a non-modellable risk factor, and then calculate the loss that corresponds to the movement in the risk factor identified by that expected shortfall measure. Such stepwise approach should also address the specific case where the number of observations for a non-modellable risk factor in the stress period concerned is insufficient to obtain accurate and prudent estimates. Since that situation can be expected to occur only in a limited number of cases, those cases should be addressed by leveraging on methodologies that institutions have implemented for other non-modellable risk factors for which they have more observations or, where possible, on the alternative standardised approach.