+1. When modelling a constant level of risk over the one-year capital horizon, institutions should …
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1. When modelling a constant level of risk over the one-year capital horizon, institutions should …
When modelling a constant level of risk over the one-year capital horizon, institutions should rebalance or roll-over positions at the end of each liquidity 15 horizon to new positions, so as to ensure the same initial level of risk as at the start of the liquidity horizon.
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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