7. Where sensitivities rather than full revaluation are used within a VaR model, the institution …

Where sensitivities rather than full revaluation are used within a VaR model, the institution concerned should demonstrate that this approach is still appropriate for Stressed VaR where larger shocks are applied. A sensitivity-based approach for Stressed VaR may require that higher order derivatives/convexity are factored in.

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/