7. Where sensitivities rather than full revaluation are used within a VaR model, the institution …

Where sensitivities rather than full revaluation are used within a VaR model, the institution concerned should demonstrate that this approach is still appropriate for Stressed VaR where larger shocks are applied. A sensitivity-based approach for Stressed VaR may require that higher order derivatives/convexity are factored in.

1. Overzicht

1.1 Referenties

1.2 Geïdentificeerde eisen

1.3 Gerelateerde standaarden

2. Geïdentificeerde eisen

3. Gerelateerde standaarden

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