1. Irrespective of the approach applied, institutions must produce robust documentation justifying …

Irrespective of the approach applied, institutions must produce robust documentation justifying the choice of approach made. This should in all cases include quantitative assessments to support the current choice of the historical period and its relevance for the current portfolio. This should also include documentation of the modelling of risk factors’ returns.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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