2. In order to put in place sound procedures for the ongoing monitoring of the relevance of a …

In order to put in place sound procedures for the ongoing monitoring of the relevance of a stressed period, an institution should document the soundness of the implemented approach. Monitoring may be based on a variety of factors which may differ among institutions. Factors to be considered include changes in market conditions, in trading strategies or also in portfolio composition. These factors may be analysed by comparing them to changes in the allocation of market values or notionals, in risk factor loadings, in the level of VaR or sensitivities, in the repartition of VaR or sensitivities over portfolios and risk categories, in the P&L and back-testing results or also by the impact of newly approved products on the risk profile.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related 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.