IMA Desk Approval
- Stressed ES (SES) Calculation
Default Risk Charge (DRC) Calculation
Multiplication factor Mc
Regulatory and internal model validation services from CompatibL
- For risk factors that can not be considered as modellable a stressed ES measure should be calculated.
- For a risk factor to be classified as modellable by a bank, there must be continuously available ”real” prices for a sufficient set of representative transactions.
- To be considered to have continuously available “real” prices, a risk factor
- have at least 24 observable “real” prices per year
- have a maximum period of one month between two consecutive observations
The above criteria must be assessed on a monthly basis.