(a)

for each sub-portfolio covered: the characteristics of the models used; where applicable, for the internal models for incremental default and migration risk and for correlation trading, the methodologies used and the risks measured through the use of an internal model including a description of the approach used by the institution to determine liquidity horizons, the methodologies used to achieve a capital assessment that is consistent with the required soundness standard and the approaches used in the validation of the model; a description of stress testing applied to the sub-portfolio; a description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes;

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Source: EUR-Lex (Cellar) · retrieved 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.