+10. The table below summarises the main issues described above concerning the level of consistency …
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10. The table below summarises the main issues described above concerning the level of consistency …
The table below summarises the main issues described above concerning the level of consistency between the methodological aspects of the current VaR and Stressed VaR measure. Is consistency between VaR and Stressed VaR | Yes for… Confidence level | required? No for… Weighting scheme | Subject to verification Changes to models Use of Taylor series | | Holding period | Back-testing Length of historical observation period Frequency of computation | approximations Scaling method |
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- 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.
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