(f)

the scope, the main characteristics and the key modelling choices of the different internal models used to calculate the risk exposure amounts for the main models used at the consolidated level, and a description of the extent to which those internal models represent the models used at the consolidated level, including, where applicable, a broad description of the following: the modelling approach used to calculate the expected shortfall referred to in Article 325ba(1), point (a), including the frequency of data update; the methodology used to calculate the stress scenario risk measure referred to in Article 325ba(1), point (b), other than the specifications provided for in Article 325bk(3); the modelling approach used to calculate the default risk charge referred to in Article 325ba(2), including the frequency of data update.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04 · Text as adopted (Official Journal); later amendments are not incorporated in this text.