+2. Regarding those proxies which might be used for Stressed VaR purposes only (for instance, due to …
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2. Regarding those proxies which might be used for Stressed VaR purposes only (for instance, due to …
Regarding those proxies which might be used for Stressed VaR purposes only (for instance, due to lack of data in the selected period), an institution should ensure that the risk factor used as proxy is conservative.
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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