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

EBA:s riktlinjer om stressjusterat Value-At-Risk (stressjusterat VaR) ......... 1 Kapitel I – Syfte, tillämpningsområde och definitioner ..................................................... 4

1. Syfte ......................................................................................................... 4 2. Tillämpningsområde och tillämpningsnivå ....................................................... 4 3. Definitioner................................................................................................. 4 Kapitel II – Krav på institutens modeller för stressjusterat VaR .................................. 5

A. Beräkning och validering av den stressutsatta perioden ............................. 5 4. Den stressutsatta periodens längd ................................................................. 5 5. Antalet stressjusterade perioder som ska användas för kalibreringen ................. 5 6. Metod för att bestämma lämplig historisk period ............................................. 6 7. Dokumentation för att stödja den metod som används för att bestämma den stressutsatta perioden ..................................................................................... 7 B. Revidering av den stressutsatta perioden ................................................... 8 8. Frekvens .................................................................................................... 8 9. Övervakning av den stressutsatta perioden .................................................... 8 C. Metod för stressjusterat VaR ....................................................................... 9 10. Överensstämmelse med VaR-metoden ......................................................... 9 11. Beräkning av proxyvariabler för stressjusterat VaR ...................................... 11 12. Validering av proxyvariabler ...................................................................... 12 13. Validering av indata och utdata för modeller ............................................... 12 D. Användningstest ....................................................................................... 13 14. Användningstest ...................................................................................... 13 Kapitel III – Slutbestämmelser och tillämpning ................................................................ 13

15. Tillämpningsdatum .................................................................................. 13 Kapitel I – Syfte, tillämpningsområde och definitioner

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