4. Where a formulaic approach is applied, which aims at identifying the most volatile period for a …

Where a formulaic approach is applied, which aims at identifying the most volatile period for a set of risk factors, an institution should provide adequate evidence that a period of high volatility is a suitable proxy for a period in which the VaR measure

11 would be high and that the lack of inclusion of correlations or other factors that would be reflected in the VaR measure does not result in rendering this proxy unsuitable.

B. Review of the stressed period

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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