12. Validation of proxies

Whereas validation of a proxy should be broadly performed in the same way for VaR and Stressed VaR, any proxy validated for the day-to-day VaR is not automatically acceptable for Stressed VaR. Proxies in use should be reviewed periodically to assess their adequacy and ensure that they provide a conservative outcome.

Regarding those proxies which might be used for Stressed VaR purposes only (for instance, due to lack of data in the selected period), an institution should ensure that the risk factor used as proxy is conservative.