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

EBA-retningslinjer for value-at-risk i stress-situationer (stressed VaR) ...... 1 Afsnit I - Emne, anvendelsesområde og definitioner ......................................................... 4

1. Emne ......................................................................................................... 4 2. Anvendelsesområde ..................................................................................... 4 3. Definitioner................................................................................................. 4 Afsnit II – Krav vedrørende institutters modellering af VaR i stress-situationer .... 5

A. Identifikation og validering af stressperioden ............................................ 5 4. Længden af stressperioden ........................................................................... 5 5. Antal stressperioder, der skal bruges til kalibrering .......................................... 5 6. Metode til identifikation af en passende historisk periode .................................. 6 7. Dokumentation til understøttelse af metoden til identifikation af stressperioden .. 7 B. Kontrol af stressperioden ............................................................................ 8 8. Hyppighed .................................................................................................. 8 9. Overvågning af stressperioden ...................................................................... 8 C. Metodologi for VaR i stress-situationer ....................................................... 9 10. Overensstemmelse med VaR-metodologi ............................................... 9 11. Beregning af proxies for VaR i stress-situationer .......................................... 11 12. Validering af proxies ................................................................................ 12 13. Validering af modelinput/-output ............................................................... 12 D. Brugstest .................................................................................................. 13 14. Brugstest ................................................................................................ 13 Afsnit III – Endelige bestemmelser og implementering ................................................. 13

15. Anvendelsesdato ..................................................................................... 13 Afsnit I - Emne, anvendelsesområde og definitioner

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