3. Where a formulaic approach is applied, which is based on a simplified VaR model, an institution …

Where a formulaic approach is applied, which is based on a simplified VaR model, an institution should also provide adequate evidence that the simplified measure gives directionally the same VaR results as the full VaR model (and therefore is accurate in determining the most stressed period). This evidence should include empirical analysis.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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