+Contents
---+1. Subject matter
---+2. Scope and level of application
------+1. L-awtoritajiet kompetenti għandhom jeħtieġu li l-istituzzjonijiet jikkonformaw …
------+2. Dawn il-linji gwida għandhom japplikaw għall-istituzzjonijiet li jużaw Approċċ tal-Mudell Intern …
------+3. Il-linji gwida japplikaw għall-istituzzjonijiet fil-livell (waħdieni u/jew konsolidat) li fih …
---+3. Definitions
---+4. Length of the stressed period
------+1. Ir-rekwiżit stabbilit fis-CRD li d-dejta storika użata biex jiġi kkalibrat il-kejl tal-VaR taħt …
------+2. L-approċċ li jrid jiġi applikat biex jiġi identifikat il-perjodu ta’ stress sabiex jiġi …
---+5. Number of stressed periods to use for calibration
------+1. Għall-finijiet ta’ approvazzjoni tal-għażla tal-perjodu ta’ stress mill-istituzzjonijiet …
------+2. Meta l-awtoritajiet kompetenti japprovaw il-perjodu ta’ stress definit fil-livell tal-grupp …
------+3. Bħala eċċezzjoni għal dan li ntqal hawn fuq, l-awtoritajiet kompetenti għandhom jeħtieġu li …
---+6. The approach for identifying the appropriate historical period
------+1. Sabiex jintgħażel perjodu storiku għall-finijiet ta’ kalibrar, l-istituzzjonijiet għandhom …
------+2. Approċċ ibbażat fuq deċiżjoni huwa wieħed li ma jużax analiżi kwantitattiva dettaljata biex …
------+3. Minflok, approċċ formulajku huwa wieħed li, minbarra deċiżjoni esperta, japplika analiżi …
------+4. Dan l-approċċ għandu jitħaddem biex jiġi determinat perjodu storiku li jkun jipprovdi eżitu ta’ …
------+5. Filwaqt li ma jista’ jintuża ebda approċċ mill-istituzzjonijiet, l-użu tal-approċċ formulajku …
------+6. L-istituzzjonijiet jistgħu anki jgħaqqdu ż-żewġ approċċi msemmija hawn fuq biex jillimitaw …
------+7. Indipendentement mill-approċċ użat, l-istituzzjonijiet għandhom jagħtu provi li l-perjodu ta’ …
------+8. Fil-każijiet kollha, ma għandu jiġi applikat l-ebda ppeżar tad-dejta storika meta jiġi …
------+9. Fl-aħħar nett, l-awtoritajiet kompetenti jistgħu jeħtieġu li l-istituzzjonijiet jużaw dejta …
---+period
------+1. Indipendentement mill-approċċ applikat, l-istituzzjonijiet iridu jipproduċu dokumentazzjoni …
------+2. Meta l-istituzzjonijiet japplikaw approċċ formulajku biex jidentifikaw il-perjodu ta’ stress …
------+3. Meta jiġi applikat approċċ formulajku, li huwa bbażat fuq mudell tal-VaR simplifikat …
------+4. Meta jiġi applikat approċċ formulajku, li għandu l-għan li jidentifika l-aktar perjodu volatili …
---+8. Frequency
------+1. Ir-rekwiżit tas-CRD (Capital Requirements Directive), għall-analiżi tal-perjodu identifikat ta’ …
------+2. Kwalunkwe bidla fl-għażla tal-perjodu storiku wara l-eżitu tal-analiżi tal-perjodu ta’ stress …
---+9. Monitoring the stressed period
------+1. Minbarra l-analiżi regolari msemmija aktar ’il fuq, istituzzjoni għandu jkollha proċeduri …
------+2. Sabiex jiġu implimentati proċeduri solidi għall-monitoraġġ kontinwu tar-rilevanza ta’ perjodu …
------+3. Minbarra l-proċeduri msemmija aktar ’il fuq, il-monitoraġġ tal-VaR taħt Stress relatat mal-VaR …
---+10. Consistency with VaR methodology
------+1. Il-metodoloġija tal-VaR taħt Stress għandha tkun ibbażata fuq il-metodoloġija attwali tal-VaR …
------+2. Fir-rigward tal-istandards użati fiż-żewġ miżuri, u minbarra dawk preskritti mid-Direttiva (eż. …
------+3. Filwaqt li l-mudell tal-VaR taħt Stress għandu jinkludi wħud mill-istandards attwali tal-VaR …
------+4. L-istandards tal-VaR taħt Stress jistgħu jkunu differenti mill-istandards tal-VaR f’ċirkustanzi …
------+5. Bħala regola ġenerali, il-bidliet f’mudell tal-VaR jew metodoloġija tal-VaR ta’ istituzzjoni …
------+6. F’ċirkostanzi eċċezzjonali, jekk istituzzjoni kapaċi turi li ma tistax tinkorpora titjib …
------+7. Fejn jintużaw is-sensittivitajiet minflok rivalutazzjoni sħiħa fi ħdan mudell tal-VaR …
------+8. Kwalunkwe ladders ta’ rivalutazzjoni jew matriċi spot /tal-volatilità użati għandhom jiġu …
------+9. F’termini ta’ kalibrar għad-dejta tas-suq, il-proċess ta’ ‘de-meaning’ mhuwiex meqjus neċessarju …
------+10. It-tabella ta’ hawn taħt tissintetizza l-problemi ewlenin deskritti hawn fuq li jikkonċenraw …
---+11. Estimation of proxies for Stressed VaR
------+1. Peress li r-restrizzjonijiet tad-dejta li jrendu neċessarju l-użu tal-prokuri għall-VaR isiru …
------+2. Jekk fattur ta’ riskju jkun nieqes fil-perjodu ta’ stress għaliex ma kienx osservabbli matul dak …
------+3. Inkella, l-istituzzjonijiet jistgħu jimmappjaw il-fattur nieqas ma’ ieħor simili f’termini ta’ …
------+4. Jekk mudell tal-VaR jittejjeb billi jiġi inkorporat fattur ta’ riskju, istituzzjoni għandha …
------+5. Fil-każijiet kollha, l-użu ta’ dawn il-prokuri, inklużi simplifikazzjonijiet u kwalunkwe …
---+12. Validation of proxies
------+1. Filwaqt li l-validazzjoni ta’ prokura għandha titwettaq b’mod ġenerali bl-istess mod għall-VaR u …
------+2. Rigward dawk il-prokuri li jistgħu jintużaw għall-finijiet tal-VaR taħt Stress biss (pereżempju …
---+13. Validation of model inputs/outputs
------+1. L-istandards kwalitattivi kollha definiti għall-kontroll tal-konsistenza, preċiżjoni u …
------+2. Sottostanzi li għalihom l-istituzzjonijiet ma għandhomx storja tad-dejta dettaljata biżżejjed …
------+3. Bil-għan li jiġu ppreservati l-inugwaljanzi ta’ arbitraġġ, l-istituzzjonijiet jista’ jkollhom …
------+4. Hekk kif jimplika l-VaR taħt Stress bid-definizzjoni tiegħu, l-applikazzjoni ta’ xenarji taħt …
---+14. Use test
------+1. Il-mudell tal-VaR taħt Stress għandu jkun soġġett għal test tal-użu permezz tal-użu tal-eżitu …
------+2. Meta l-eżiti tal-VaR taħt Stress jikxfu vulnerabilità partikolari għal sett speċifiku ta’ …
---+15. Date of application

III. EBA Guidelines on Stressed VaR ............................................................................. 6 Title I – Subject matter, Scope and Definitions ................................................................... 8

1. Subject matter ............................................................................................ 8 2. Scope and level of application ....................................................................... 8 3. Definitions .................................................................................................. 8 Title II – Requirements regarding institutions’ Stressed VaR modelling .................... 9

A. Identification and validation of the stressed period .................................... 9 4. Length of the stressed period ........................................................................ 9 5. Number of stressed periods to use for calibration ............................................ 9 6. The approach for identifying the appropriate historical period ......................... 10 7. Documentation to support the approach used to identify the stressed period .... 11 B. Review of the stressed period ................................................................... 12 8. Frequency ................................................................................................ 12 9. Monitoring the stressed period .................................................................... 12 C. Stressed VaR methodology ........................................................................ 13 10. Consistency with VaR methodology ............................................................ 13 11. Estimation of proxies for Stressed VaR ....................................................... 15 12. Validation of proxies ................................................................................ 16 13. Validation of model inputs/outputs ............................................................. 16 D. Use test ..................................................................................................... 17 14. Use test.................................................................................................. 17 Title III – Final Provisions and Implementation ................................................................. 17

15. Date of application ................................................................................... 17

7 Title I – Subject matter, Scope and Definitions

1. Ħarsa ġenerali

Titlu	Regolamentazzjoni
1. Subject matter	These guidelines aim at achieving a common understanding among the competent authorities across the EU on Stressed Value at Risk (VaR) models in order to enhance convergence of supervisory practices in line with Annex V of Directive 2006/49/EC, as amended by Directive 2010/76/EU.
2. Scope and level of application	2. Scope and level of application
3. Definitions	In these guidelines the following definitions should apply: a. The term institutions should mean credit institutions and investment firms as set out in Directives 2006/48/EC and 2006/49/EC. b. The term antithetic data under point 6 of these Guidelines should mean price movements which are considered relevant irrespective of their direction. c. The term de-meaning under point 10 of these Guidelines should mean a quantitative process to remove a trend from historical data. Depending on the positions and the size of the trend, not removing the drift from the historical data to simulate the price variations could generate mainly profitable scenarios and very few and limited losses. d. The term proxy under point 11 of these Guidelines should mean an observable variable or price taken from a liquid market that is used to substitute a variable that cannot be observed (or whose hypothetical price does not reflect real transactions from a deep two-way market) and thus cannot be accurately measured. Institutions use proxies both for valuation and risk measurement purposes. From a theoretical perspective three types of proxies can be identified: those applied in the valuation of instruments (which would affect the adequacy of VaR and Stressed VaR as capital measures); those used for 8 VaR calculations (which would also be present in Stressed VaR metrics); and those affecting solely the Stressed VaR calculation. Title II – Requirements regarding institutions’ Stressed VaR modelling A. Identification and validation of the stressed period
4. Length of the stressed period	4. Length of the stressed period
5. Number of stressed periods to use for calibration	5. Number of stressed periods to use for calibration
6. The approach for identifying the appropriate historical period	6. The approach for identifying the appropriate historical period
period	period
8. Frequency	8. Frequency
9. Monitoring the stressed period	9. Monitoring the stressed period
10. Consistency with VaR methodology	10. Consistency with VaR methodology
11. Estimation of proxies for Stressed VaR	11. Estimation of proxies for Stressed VaR
12. Validation of proxies	12. Validation of proxies
13. Validation of model inputs/outputs	13. Validation of model inputs/outputs
14. Use test	14. Use test
15. Date of application	Competent authorities should implement these Guidelines by incorporating them within their supervisory procedures within six months after publication of the final Guidelines. Thereafter, competent authorities should ensure that institutions comply with them effectively. 17

1.1 Referenzi

1.2 Rekwiżiti identifikati

1.3 Standards relatati

2. Rekwiżiti identifikati

Rekwiżiti
Sors	Rekwiżit

3. Standards relatati

Standards
Sors	Rekwiżit

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