Qu'est-ce que « Risk-factor eligibility test, non-modellable risk factor » ?

The risk-factor eligibility test admits a risk factor into the internal model if it has at least 24 real price observations in the past year with no 90-day period holding fewer than four (or at least 100 in the year). A factor that fails is a non-modellable risk factor: it is capitalised separately by its own stress scenario, with little diversification.