+14. Use test
---+1. The Stressed VaR model should be subject to a use test through use of Stressed VaR output in …
---+2. Where Stressed VaR outputs reveal particular vulnerability to a given set of circumstances …

14. Use test

14. Use test

1. Overview

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1. The Stressed VaR model should be subject to a use test through use of Stressed VaR output in …

The Stressed VaR model should be subject to a use test through use of Stressed VaR output in risk management decisions. Stressed VaR output should be in place as a supplement to the risk management analysis based on the day-to-day output of a VaR model. The results of Stressed VaR should be monitored and reviewed periodically by senior management.
2. Where Stressed VaR outputs reveal particular vulnerability to a given set of circumstances …

Where Stressed VaR outputs reveal particular vulnerability to a given set of circumstances, prompt steps should be taken to manage those risks appropriately.

Title III – Final Provisions and Implementation

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

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.