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:
analyse the process that the institution uses to determine the day of the week when the measures are computed;
verify that a reduction in the calculation frequency does not lead to an underestimation of risk.
2. For the purposes of paragraph 1, point (b), competent authorities shall:
verify whether the analysis performed by the institution is adequate to demonstrate that there is no underestimation of risk;
verify whether the evolution of the daily figures forUESt,,andcalculated on all portfolio’s positions as required by Article 325bb(1) of Regulation (EU) No 575/2013, does not systematically show a lower risk profile in the day chosen by the institution.
\mathrm{PES}_t^{\mathrm{RS}}
\mathrm{PES}_t^{\mathrm{FC}}
\mathrm{PES}_t^{\mathrm{RC}}
3. For the purposes of paragraph 2, point (b), competent authorities may, where there are hints of a systematically lower risk profile, complement their assessment by:
requiring the institution to calculate daily and for a given period the unconstrained expected shortfall measuresand the partial expected shortfall measures,andfor each broad risk factor categories;
analysing whether those measures are systematically lower on the day chosen by the institution.
\mathrm{UES}_{t}^{i}
\mathrm{PES}_{t}^{\mathrm{RS}, i}
\mathrm{PES}_t^{\mathrm{FC},i}
\mathrm{PES}_{t}^{\mathrm{RC}, \mathrm{i}}