2. Where institutions apply a formulaic approach to identify the stressed period the following …

Where institutions apply a formulaic approach to identify the stressed period the following issues should, as a minimum, be addressed in the related documentation:

• i. Justification for the choice of risk factors used if a risk-factor based approach is applied and where fewer than the modelled risk factors are selected.
• ii. Justification of any simplifications where a simplified VaR model is used to identify the historical period.

1. Forbhreathnú

1.1 Tagairtí

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

3. Caighdeáin ghaolmhara

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