Contents
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. Overzicht
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Regelgeving |
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1. Subject matter
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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.
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2. Scope and level of application
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2. Scope and level of application
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3. Definitions
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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
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4. Length of the stressed period
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4. Length of the stressed period
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5. Number of stressed periods to use for calibration
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5. Number of stressed periods to use for calibration
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6. The approach for identifying the appropriate historical period
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6. The approach for identifying the appropriate historical period
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period
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period
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8. Frequency
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8. Frequency
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9. Monitoring the stressed period
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9. Monitoring the stressed period
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10. Consistency with VaR methodology
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10. Consistency with VaR methodology
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11. Estimation of proxies for Stressed VaR
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11. Estimation of proxies for Stressed VaR
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12. Validation of proxies
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12. Validation of proxies
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13. Validation of model inputs/outputs
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13. Validation of model inputs/outputs
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14. Use test
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14. Use test
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15. Date of application
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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
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1.1 Referenties
1.2 Geïdentificeerde eisen
1.3 Gerelateerde standaarden
2. Geïdentificeerde eisen
3. Gerelateerde standaarden
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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