130. Institutions should develop an appropriate approach to capturing the underestimation of tail …

Institutions should develop an appropriate approach to capturing the underestimation of tail risk by historical data (fat tails) where applicable, e.g. by applying severe hypothetical scenarios, and, where risk is assessed against percentile confidence levels, should consider tail events beyond those confidence levels.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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