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
1. Ħarsa ġenerali
| Titlu |
Regolamentazzjoni |
,
1.1 Referenzi
1.2 Rekwiżiti identifikati
1.3 Standards relatati
2. Rekwiżiti identifikati
3. Standards relatati
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
|