Guidelines on Stressed Value-At-Risk (Stressed VaR) (EBA/GL/2012/02)

Linji Gwida tal-ABE dwar Valur fir-Riskju Taħt Stress (VaR taħt Stress) ...... 1 Titolu I – Suġġett, Kamp ta’ applikazzjoni u Definizzjonijiet .......................................... 4

1. Suġġett ...................................................................................................... 4 2. Kamp ta’ applikazzjoni u livell tal-applikazzjoni ............................................... 4 3. Definizzjonijiet ............................................................................................ 4 Titolu II – Rekwiżiti rigward l-immudellar tal-VaR taħt Stress tal-istituzzjonijiet .. 5

A. Identifikazzjoni u validazzjoni tal-perjodu ta’ stress .................................. 5 4. Tul tal-perjodu ta’ stress .............................................................................. 5 5. Numru ta’ perjodi ta’ stress li jridu jintużaw għall-kalibrar ................................ 5 6. L-approċċ għall-identifikazzjoni tal-perjodu storiku xieraq ................................. 6 7. Dokumentazzjoni b’appoġġ tal-approċċ użat biex jiġi identifikat il-perjodu ta’ stress ............................................................................................................ 7 B. Analiżi tal-perjodu ta’ stress ....................................................................... 8 8. Frekwenza ................................................................................................ 8 9. Monitoraġġ tal-perjodu ta’ stress ............................................................. 8 Ċ. Metodoloġija tal-VaR taħt Stress ................................................................. 9 10. Konsistenza mal-metodoloġija tal-VaR ................................................... 9 11. Stima tal-prokuri għall-VaR taħt Stress ...................................................... 11 12. Validazzjoni tal-prokuri ............................................................................. 12 13. Validazzjoni tal-inputs/eżiti tal-mudell ........................................................ 12 D. Test tal-użu ............................................................................................... 13 14. Test tal-użu ............................................................................................ 13 Titolu III – Dispożizzjonijiet Finali u Implimentazzjoni ................................................... 13

15. Data ta’ applikazzjoni ............................................................................... 13 Titolu I – Suġġett, Kamp ta’ applikazzjoni u Definizzjonijiet

III. EBA Guidelines on Stressed VaR ............................................................................. 6 Title I – Subject matter, Scope and Definitions ................................................................... 8

1. Subject matter ............................................................................................ 8 2. Scope and level of application ....................................................................... 8 3. Definitions .................................................................................................. 8 Title II – Requirements regarding institutions’ Stressed VaR modelling .................... 9

A. Identification and validation of the stressed period .................................... 9 4. Length of the stressed period ........................................................................ 9 5. Number of stressed periods to use for calibration ............................................ 9 6. The approach for identifying the appropriate historical period ......................... 10 7. Documentation to support the approach used to identify the stressed period .... 11 B. Review of the stressed period ................................................................... 12 8. Frequency ................................................................................................ 12 9. Monitoring the stressed period .................................................................... 12 C. Stressed VaR methodology ........................................................................ 13 10. Consistency with VaR methodology ............................................................ 13 11. Estimation of proxies for Stressed VaR ....................................................... 15 12. Validation of proxies ................................................................................ 16 13. Validation of model inputs/outputs ............................................................. 16 D. Use test ..................................................................................................... 17 14. Use test.................................................................................................. 17 Title III – Final Provisions and Implementation ................................................................. 17

15. Date of application ................................................................................... 17

7 Title I – Subject matter, Scope and Definitions