2. With respect to standards used in both measures, and further to the ones prescribed by the …

With respect to standards used in both measures, and further to the ones prescribed by the Directive (e.g. the 99% confidence level), institutions may consider the use of ‘square root of time’ scaling to calculate a 10-day Stressed VaR measure. Nevertheless, given some known limitations of the scaling factor, an analysis to demonstrate that the assumptions underlying the use of the ‘square root of time’ rule are appropriate, should form part of the internal model validation process.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

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