3. With a view to preserving arbitrage inequalities, institutions may need to apply data cleaning …

With a view to preserving arbitrage inequalities, institutions may need to apply data cleaning for Stressed VaR. Where this is the case, the removal of outliers from

16 historical data series should be appropriately justified and documented, as it should not end up decreasing the magnitude of extreme events.

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/