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Recital 4

Recital 4

(4)The Basel framework requires that the market risk own funds requirements for non-modellable risk factors have to be calibrated to a period of stress that is the same for all non-modellable risk factors that belong to the same broad category of risk factors. To determine extreme scenarios of future shock on the basis of data observed during that identified period, institutions should collect data for non-modellable risk factors for that identified stress period.

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