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. Pregled

1.1 Reference

1.2 Utvrđeni zahtjevi

1.3 Povezani standardi

2. Utvrđeni zahtjevi

3. Povezani standardi

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/