4. Stressed VaR standards may diverge from VaR standards in other circumstances where there could …

Stressed VaR standards may diverge from VaR standards in other circumstances where there could be methodological incompatibilities between the current VaR and the Stressed VaR model. One example includes changes in the current VaR methodology that cannot be translated into the Stressed VaR measure and the use of local valuation (sensitivity analysis/proxies) as opposed to full revaluation, which is the preferred approach for Stressed VaR.

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/