Article 47 2

(a)

require the institution to provide the Monte Carlo statistical error at 95 % confidence level, and verify whether the method employed to measure such statistical error is sound;

(b)

require the institution to calculate the value-at-risk measure with several different seeds, all other assumptions being equal, and verify that the method used to generate simulation does not create bias in the results;

(c)

assess whether the differences in the value-at-risk measures with a different seed, as calculated in accordance with point (b), are compatible with the statistical error referred to in point (a), and, where that is not the case, assess the root cause of such incompatibility and the number of simulations needed to ensure that the statistical error is below 5 %.