+8. In all cases no weighting of historical data should be applied when determining the relevant …
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8. In all cases no weighting of historical data should be applied when determining the relevant …
In all cases no weighting of historical data should be applied when determining the relevant historical period or when calibrating the Stressed VaR model, as the weighting of data in a stressed period would not result in a true reflection of the potential stressed losses that could occur for an institution’s portfolio.
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 - Published by the European Banking Authority at https://www.eba.europa.eu/
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