Question
Please could information be provided on the process for selecting stressed VaR period for calculating stressed VaR for the hypothetical portfolios
Background on the question
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.
Answer
The 2015/16 Market Risk Benchmarking exercise does not require banks to select a predetermined stressed period. Banks are required to use the stressed period that they currently use for regulatory purposes. In r070 c020 of Template C 107.01 of Annex VII of Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) banks shall inform EBA about their stressed period. DISCLAIMER: The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal, which may differ from the text of the draft ITS to which this Q&A relates.