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

Usmernenia EBA o stresovej hodnote v riziku (Value at Risk) (stresovej VaR) ............................................................................................................. 1 Hlava I – Predmet, rozsah pôsobnosti a vymedzenie pojmov ....................................... 4

1. Predmet ..................................................................................................... 4 2. Rozsah pôsobnosti a úroveň uplatňovania ...................................................... 4 3. Vymedzenia pojmov .................................................................................... 4 Hlava II – Požiadavky týkajúce sa modelovania stresovej VaR inštitúcií .................. 5

A. Identifikácia a validácia stresového obdobia .............................................. 5 4. Dĺžka stresového obdobia ............................................................................. 5 5. Počet stresových období, ktoré sa používajú na kalibráciu ................................ 5 6. Prístup na identifikáciu vhodného historického obdobia .................................... 6 7. Dokumentácia na podporu prístupu použitého na identifikáciu stresového obdobia .................................................................................................................... 7 B. Preskúmanie stresového obdobia ................................................................ 8 8. Frekvencia ................................................................................................ 8 9. Monitorovanie stresového obdobia ........................................................... 8 C. Metodika stresovej VaR ............................................................................... 9 10. Konzistentnosť s metodikou VaR ............................................................ 9 11. Odhad proxy údajov pre stresovú VaR ........................................................ 11 12. Validácia proxy údajov ............................................................................. 12 13. Validácia vstupov/výstupov modelu ........................................................... 12 D. Test používania ......................................................................................... 13 14. Test používania ....................................................................................... 13 Hlava III – Záverečné ustanovenia a vykonávanie .......................................................... 13

15. Dátum začatia uplatňovania ...................................................................... 13 Hlava I – Predmet, rozsah pôsobnosti a vymedzenie pojmov

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