Documentation
Article 7
1. Institutions shall document in their internal policies all of the following: (a) the set and description of the risk factors in their internal risk-measurement model subject to the modellability assessment; (b) the sources of verifiable price information used to assess the modellability of risk factors; (c) the criteria for a price to be considered verifiable in accordance with Article 2, including an outline of how the institution assesses whether the volume of a transaction or of a committed quote is non-negligible as referred to in Article 2(2), point (b), and whether the bid-offer spread of a quote is reasonable as referred to in Article 2(2), point (c); (d) the mapping process and the criteria used to determine the representativeness of verifiable prices for risk factors as referred to in Article 3, including an outline of the methodology specified for the extraction of the value of the risk factor from the verifiable prices and any additional input the methodology potentially requires; (e) the modellability assessment for parametric curves, surfaces or cubes as referred to in Article 6; (f) the use of the bucketing approaches referred to in Article 5, also specifying whether and how the institution applies Article 5(5); (g) the use of the 12-month shifted period in accordance with Article 1(2) or with Article 4(3). 2. For each risk factor, institutions shall keep a record of at least one year of the results of their modellability assessment, including the documentation referred to in paragraph 1. For risk factors for which a track record of one year of results is not yet available, institutions shall keep the maximum available track record of results.