+9. Finally, competent authorities may require institutions to use antithetic data when calibrating …
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9. Finally, competent authorities may require institutions to use antithetic data when calibrating …
Finally, competent authorities may require institutions to use antithetic data when calibrating the Stressed VaR model, especially where an institution’s portfolio is characterized by frequent position changes. 7. Documentation to support the approach used to identify the stressed
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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