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Article 60 - The time horizons

Comparing 15/03/2013 → 15/06/2016: 0 added, 0 removed, 2 changed Close comparison

1. 1. The time horizons used for stress tests shall be defined in accordance with Chapter VII and shall include forward-looking extreme but plausible market conditions.

2. 2. The historical time horizons used for back tests shall include data from at minimum the most recent year or as long as a CCP has been clearing the relevant financial instrument if that is less than a year.

Official text · consolidated version 15/06/2016 (no longer in force) Open full page ↗
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