4. Length of the stressed period

The requirement set out in the CRD that the historical data used to calibrate the Stressed VaR measure have to cover a continuous 12-month period, applies also where institutions identify a period which is shorter than 12 months but which is considered to be a significant stress event relevant to an institution’s portfolio.

The approach to be applied to identify the stressed period in order to meet the requirement of Paragraph 10a of Annex 5 of Directive 2006/49/EC as amended by Directive 2010/76/EU, to calculate a Stressed VaR measure calibrated to a continuous 12-month period of financial stress relevant to an institution’s portfolio, is the most material element determining the output of the model and is therefore subject to approval by the competent authorities.