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

EBA-richtsnoeren inzake Stressed Value At Risk (stressed-VaR) ..................... 1 Titel I – Onderwerp, toepassingsgebied en definities ........................................................ 4

1. Onderwerp ................................................................................................. 4 2. Toepassingsgebied en -niveau....................................................................... 4 3. Definities .................................................................................................... 4 Titel II – Vereisten met betrekking tot de stressed-VaR-modellen van instellingen. ........................................................................................................................................ 5

A. Vaststelling en validatie van de periode van spanningen ............................ 5 4. Lengte van de periode van spanningen .......................................................... 5 5. Aantal voor de ijking te gebruiken perioden van spanningen ............................. 5 6. De methode voor het vaststellen van de juiste historische periode ..................... 6 7. Documenten ter staving van de voor het vaststellen van de historische periode gebruikte methode .......................................................................................... 7 B. Evaluatie van de periode van spanningen ................................................... 8 8. Frequentie .................................................................................................. 8 9. Monitoring van de periode van spanningen ..................................................... 8 C. Methode voor de berekening van de stressed-VaR ...................................... 9 10. Consistentie met de methode voor de berekening van de VaR ......................... 9 11. Schatting van proxy’s voor stressed-VaR .................................................... 12 12. Validatie van proxy’s ................................................................................ 13 13. Validatie van modelinputs/-outputs ............................................................ 13 D. Gebruikstest ............................................................................................. 14 14. Gebruikstest ........................................................................................... 14 Titel III – Slotbepalingen en tenuitvoerlegging ................................................................. 14

15. Datum van toepassing .............................................................................. 14 Titel I – Onderwerp, toepassingsgebied en definities

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