1. The Stressed VaR model should be subject to a use test through use of Stressed VaR output in …

The Stressed VaR model should be subject to a use test through use of Stressed VaR output in risk management decisions. Stressed VaR output should be in place as a supplement to the risk management analysis based on the day-to-day output of a VaR model. The results of Stressed VaR should be monitored and reviewed periodically by senior management.

1. Overzicht

1.1 Referenties

1.2 Geïdentificeerde eisen

1.3 Gerelateerde standaarden

2. Geïdentificeerde eisen

3. Gerelateerde standaarden

• EBA -

  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

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