3. In addition to the above-mentioned procedures, monitoring of Stressed VaR relative to VaR should …

In addition to the above-mentioned procedures, monitoring of Stressed VaR relative to VaR should be performed on an on-going basis, because, while in theory, due to differences in parameterisation, Stressed VaR can exceptionally be smaller than VaR, also at inception, this should not structurally be the case. The ratio between Stressed VaR and VaR at the moment of identification of the relevant stressed period should be used as a reference value for ongoing monitoring. Significant decreases in the ratio should be considered as indications for a potential need for review of a stressed period. A ratio between Stressed VaR and VaR below one should be considered as a warning signal triggering a review of the stressed period.

12 C. Stressed VaR methodology

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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