1. In order to choose a historical period for calibration purposes, institutions should formulate a …

In order to choose a historical period for calibration purposes, institutions should formulate a methodology for identifying a stressed period relevant to their current portfolios, based on one of the following two ways:

• i. judgement-based approaches; or
• ii. formulaic approaches.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/