35. 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 specific 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. Where assumptions are made that residuals from Beta approximations or other random data-generating approaches are uncorrelated to each other, the empirical evidence referred to in the previous sentence should include a justification of those assumptions. 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.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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