2. If a risk factor is missing in the stressed period because it was not observable during that …

If a risk factor is missing in the stressed period because it was not observable during that period (for example for a newly listed equity) the institution may use another risk factor (in this example, another equity from the same sector and with a similar risk and business profile) for which there is information available and for which a highly correlated behaviour with the factor that the institution is trying to capture can be demonstrated. Where these proxies are used, institutions should consider whether an assumption of 100% correlation between the risk factor and its proxy is appropriate.

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1. Pregled

1.1 Reference

1.2 Utvrđeni zahtjevi

1.3 Povezani standardi

2. Utvrđeni zahtjevi

3. Povezani standardi

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