33. Where institutions use Beta approximations or other random data-generating approaches for the …

Where institutions use Beta approximations or other random data-generating approaches for the purpose of determining the scenarios of future shocks, they should show with empirical evidence that general market risks are properly captured by the data inputs used to determine the values of the Beta coefficients or the parameters of the random data-generating approaches. Such empirical evidence should include statistical measures expressing the goodness-of-fit of the Beta approximations or the other random data-generating approaches. As part of the records kept by the institutions to demonstrate their compliance with the requirements of these Guidelines, institutions should document the analyses performed to comply with this paragraph.

4.2.2 Data inputs capturing specific market risks

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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