2. Where institutions apply a formulaic approach to identify the stressed period the following …

Where institutions apply a formulaic approach to identify the stressed period the following issues should, as a minimum, be addressed in the related documentation:

• i. Justification for the choice of risk factors used if a risk-factor based approach is applied and where fewer than the modelled risk factors are selected.
• ii. Justification of any simplifications where a simplified VaR model is used to identify the historical period.

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/