+10. The table below summarises the main issues described above concerning the level of consistency …
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10. The table below summarises the main issues described above concerning the level of consistency …
The table below summarises the main issues described above concerning the level of consistency between the methodological aspects of the current VaR and Stressed VaR measure. Is consistency between VaR and Stressed VaR | Yes for… Confidence level | required? No for… Weighting scheme | Subject to verification Changes to models Use of Taylor series | | Holding period | Back-testing Length of historical observation period Frequency of computation | approximations Scaling method |
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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