EBA Guidelines on Stressed Value At Risk (Stressed VaR) EBA/GL ...

the need for an ex-post notification which is tobe made during the notification of minormodel adjustments that has to take place atleast once a year.Chapter 9This section is overly-conservative regardingregular review and monitoring of theappropriateness of the SVaR time window(e.g. when de-risking trades have been putonto the book), although in practice there maynot be a large impact if the SVaR windowchanges by a few months during the financialcrisis (which is likely to be the relevant periodfor most banks). Furthermore this sectionstipulates the need for a regular review (‘ongoingbasis’) in order to ensure that thespecified stressed period is still representativefor the portfolio. We hold the view that theprovisions on the rotating review or reviewstriggered by certain circumstances (c. f.section 8) will be sufficient.<strong>EBA</strong> believes that having procedures and communicatingdocumentation on the monitoring of the stressed periodwill ensure that the stressed period remainsrepresentative on an on-going basis and providesadditional value above the requirements set out inchapter 8.No change.Para 9.2It is not clear how to implement quantitativelythe procedures described in paragraph 9.2. Itwould be very useful if some clarifyingexamples could be provided.<strong>EBA</strong> believes para 9.2 is sufficiently clear.No change.Para 9.3The mere fact that positions have been takento reduce (hedge) the Stressed VaR shouldautomatically trigger a review of the StressedVaR period. A review of the Stressed VaRperiod should be triggered only if there is a<strong>EBA</strong> has decided to delete paragraph 9.3. Paragraph9.3’s objective was to prevent regulatory arbitrage. <strong>EBA</strong>believes that this objective is addressed by otherparagraphs.Delete para 9.3.25