3. A formulaic approach instead is one that applies, in addition to expert judgement, a more …

A formulaic approach instead is one that applies, in addition to expert judgement, a more systematic quantitative analysis to identify the historical period representing a significant stress for an institution’s current portfolio. This more systematic approach could be employed in a number of ways:

• i. A risk-factor based approach: an institution identifies a restricted number of risk factors which are considered to be a relevant proxy for the movement in value of its portfolio. The historical data for these risk factors can then be fully analysed to identify the most stressed period (for example, through identification of the period of highest volatility of the risk factors), in the historical data window.
• ii. A VaR based approach: the historical period is identified by running either the full VaR model or an approximation over a historical period to identify the 12-month period which produces the highest resulting measure for the current portfolio.

1. Pregled

1.1 Reference

1.2 Utvrđeni zahtjevi

1.3 Povezani standardi

2. Utvrđeni zahtjevi

3. Povezani standardi

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