Guidelines on Stressed Value-At-Risk (Stressed VaR) (EBA/GL/2012/02)

Tytuł I – Przedmiot, zakres i definicje ......................................................... 4 1. Przedmiot ................................................................................................. 4 2. Zakres i poziom stosowania ........................................................................ 4 3. Definicje ................................................................................................... 4 Tytuł II – Wymogi dotyczące modelowania przez instytucje wartości zagrożonej w warunkach skrajnych ............................................................................ 5 A. Wyznaczanie i zatwierdzanie okresu występowania warunków skrajnych ................................................................................................ 5 4. Długość okresu występowania warunków skrajnych ....................................... 5

III. EBA Guidelines on Stressed VaR ............................................................................. 6 Title I – Subject matter, Scope and Definitions ................................................................... 8

1. Subject matter ............................................................................................ 8 2. Scope and level of application ....................................................................... 8 3. Definitions .................................................................................................. 8 Title II – Requirements regarding institutions’ Stressed VaR modelling .................... 9

A. Identification and validation of the stressed period .................................... 9 4. Length of the stressed period ........................................................................ 9 5. Number of stressed periods to use for calibration ............................................ 9 6. The approach for identifying the appropriate historical period ......................... 10 7. Documentation to support the approach used to identify the stressed period .... 11 B. Review of the stressed period ................................................................... 12 8. Frequency ................................................................................................ 12 9. Monitoring the stressed period .................................................................... 12 C. Stressed VaR methodology ........................................................................ 13 10. Consistency with VaR methodology ............................................................ 13 11. Estimation of proxies for Stressed VaR ....................................................... 15 12. Validation of proxies ................................................................................ 16 13. Validation of model inputs/outputs ............................................................. 16 D. Use test ..................................................................................................... 17 14. Use test.................................................................................................. 17 Title III – Final Provisions and Implementation ................................................................. 17

15. Date of application ................................................................................... 17

7 Title I – Subject matter, Scope and Definitions