EBU Single Rulebook Q&A 9 March 2015 2015_1877 Validation rules v1906_h and v1907_h

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European Union · · · 10-06-2016

Do validation rules v1906_h and v1907_h have to be modified? The validation rules require that the VaR for general risk and the VaR for specific risk add up exactly to the total VaR both for equities (v1907_h) and traded debt instruments (TDI, v1907_h) respectively: v1906_h: C 24.00, columns (030;040;050;060): {r020} = {r030} + {r040} v1907_h: C 24.

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