8. In all cases no weighting of historical data should be applied when determining the relevant …

In all cases no weighting of historical data should be applied when determining the relevant historical period or when calibrating the Stressed VaR model, as the weighting of data in a stressed period would not result in a true reflection of the potential stressed losses that could occur for an institution’s portfolio.

1. Pregled

1.1 Reference

1.2 Utvrđeni zahtjevi

1.3 Povezani standardi

2. Utvrđeni zahtjevi

3. Povezani standardi

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  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

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