+9. In terms of calibration to market data, the process of ‘de-meaning’ is not considered necessary …
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9. In terms of calibration to market data, the process of ‘de-meaning’ is not considered necessary …
In terms of calibration to market data, the process of ‘de-meaning’ is not considered necessary for Stressed VaR. If there is a significant drift in market data, the use of antithetic data is preferable to ‘de-meaning’.
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/
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