35. Where institutions use Beta approximations or other random data-generating approaches for the …

Where institutions use Beta approximations or other random data-generating approaches for the purpose of determining the scenarios of future shocks, they should show with empirical evidence that specific market risks are properly captured by the data inputs used to determine the values of the Beta coefficients or the parameters of the random data-generating approaches. Where assumptions are made that residuals from Beta approximations or other random data-generating approaches are uncorrelated to each other, the empirical evidence referred to in the previous sentence should include a justification of those assumptions. As part of the records kept by the institutions to demonstrate their compliance with the requirements of these Guidelines, institutions should document the analyses performed to comply with this paragraph.

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.