4. If a VaR model is enhanced by incorporating a risk factor, an institution should also …

If a VaR model is enhanced by incorporating a risk factor, an institution should also incorporate it into its Stressed VaR calculations. In certain cases, this may mean reviewing the historical data series for the risk factors and introducing an appropriate proxy. For example where a new risk factor used for valuation purposes is incorporated into the VaR model as required under Annex V point 12 first Paragraph of Directive 2006/49/EC as amended by Directive 2010/76/EU.

1. Overzicht

1.1 Referenties

1.2 Geïdentificeerde eisen

1.3 Gerelateerde standaarden

2. Geïdentificeerde eisen

3. Gerelateerde standaarden

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