Response to consultation Paper on Draft Regulatory Technical Standards on the calculation of the stress scenario risk measure under Article 325bk(3) of Regulation (EU) No 575/2013 (Capital Requirements Regulation 2 - CRR2)

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Q1. What is your preferred option among option A (stress period based extreme scenario of future shock) and option B (extreme scenario of future shock rescaled to stress period)? Please elaborate highlighting pros and cons.

Please see the attached file with all the answers and data tables.

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IntesaSanpaoloResponse_draft EBA RTS NMRF_2020_09_04.pdf (1.15 MB)

Name of the organization

Intesa Sanpaolo