EBU Single Rulebook Q&A 29 September 2015 2015_2336 Supervisory Benchmarking exercise for 2015 - Market Risk related
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European Union · · · 29-09-2015
Please could information be provided on the process for selecting stressed VaR period for calculating stressed VaR for the hypothetical portfolios Specification of process for selection of stressed VaR period will help provide certainty for banks that they are following the correct process and improve consistency between banks.
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