+1. The Stressed VaR methodology should be based on the current VaR methodology, with specific …
|
1. The Stressed VaR methodology should be based on the current VaR methodology, with specific …
The Stressed VaR methodology should be based on the current VaR methodology, with specific techniques required, where applicable, in order to adjust the current VaR model into one that delivers a Stressed VaR measure. Any risk factor occurring in the VaR model should therefore be reflected in the Stressed VaR model.
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/
|