+4. Length of the stressed period
---+1. The requirement set out in the CRD that the historical data used to calibrate the Stressed VaR …
---+2. The approach to be applied to identify the stressed period in order to meet the requirement of …

4. Length of the stressed period

4. Length of the stressed period

1. Overview

,
1. The requirement set out in the CRD that the historical data used to calibrate the Stressed VaR …

The requirement set out in the CRD that the historical data used to calibrate the Stressed VaR measure have to cover a continuous 12-month period, applies also where institutions identify a period which is shorter than 12 months but which is considered to be a significant stress event relevant to an institution’s portfolio.
2. The approach to be applied to identify the stressed period in order to meet the requirement of …

The approach to be applied to identify the stressed period in order to meet the requirement of Paragraph 10a of Annex 5 of Directive 2006/49/EC as amended by Directive 2010/76/EU, to calculate a Stressed VaR measure calibrated to a continuous 12-month period of financial stress relevant to an institution’s portfolio, is the most material element determining the output of the model and is therefore subject to approval by the competent authorities.

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
  • EBA -

    EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

    DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.