Guidelines on Stressed Value-At-Risk (Stressed VaR) (EBA/GL/2012/02)

Smernice EBA o tveganih vrednostih za izjemne situacije ............................ 1 Naslov I – Predmet urejanja, obseg uporabe in opredelitev pojmov .......................... 4

1. Predmet urejanja ........................................................................................ 4 2. Obseg in raven uporabe ............................................................................... 4 3. Opredelitev pojmov ..................................................................................... 4 Naslov II – Zahteve v zvezi z modeliranjem tvegane vrednosti za izjemne situacije za institucije ..................................................................................................................... 5

A. Opredelitev in ovrednotenje obdobja izjemnih situacij ............................... 5 4. Dolžina obdobja izjemnih situacij ................................................................... 5 5. Število obdobij izjemnih situacij, ki se uporabijo za kalibracijo .......................... 5 6. Pristop za opredelitev ustreznega preteklega obdobja ...................................... 5 7. Dokumentacija za utemeljitev pristopa, ki se uporablja za opredelitev obdobja izjemnih situacij .............................................................................................. 7 B. Pregled obdobja izjemnih situacij ............................................................... 7 8. Pogostost ................................................................................................. 7 9. Spremljanje obdobja izjemnih situacij ..................................................... 8 C. Metodologija za tvegane vrednosti za izjemne situacije .............................. 8 10. Skladnost z metodologijo za tvegane vrednosti ..................................... 8 11. Ocena približkov za tvegane vrednosti za izjemne situacije ........................... 11 12. Ovrednotenje približkov ............................................................................ 12 13. Ovrednotenje vhodnih podatkov/rezultatov modelov .................................... 12 D. Test uporabnosti ....................................................................................... 13 14. Test uporabnosti ...................................................................................... 13 Naslov III – Končne določbe in izvajanje ............................................................................. 13

15. Datum začetka uporabe ............................................................................ 13 Naslov I – Predmet urejanja, obseg uporabe in opredelitev pojmov

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