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

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eason to believe that the risk structure of theportfolio has significantly changed or if a newperiod of greater stress has emerged. Thispoint is in contradiction with 15.2. Weunderstand the <strong>EBA</strong> intention here is more toprevent ‘arbitrage’ actions that are artificiallyreducing the sVaR and should be reformulatedaccordinglyPara 9.3Does this mean that the use of proxies duringhedging transactions has to be accompaniedby an appropriate reflection of the residualbasis risk?<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.Para 9.5The decision as to whether or not a positionshould be entered into the trading book oughtto be left to the discretion of traders. Forinstance, due to operational reasons in theevent of several thousands of individual tradesper day in larger organisations, monitoringthat an individual position was merely enteredfor the purposes of reducing Stressed VaRmay become virtually impossible for riskcontrolling.This comment was linked to para 9.3 which has nowbeen deleted.No change.3. Stressed VaR methodologyChapter 10This chapter is further evidence for anincreasing inconsistency between the VaRmethodologies and the Stressed VaRcalculation. This is a source of growing<strong>EBA</strong> believes this chapter is consistent with the Baselrequirements on Stressed VaR methodology and doesnot see any reason to deviate from the Baselrequirements.No change.26
concern for us. We feel that this will only bewarranted under exceptional circumstances.Para 10.2The requirement to review theappropriateness of the square root of time toscaling up a one-day stressed VaR measure isunnecessary. If the methodology required forstressed VaR to be consistent with VaR andthere is an existing CRD requirement to justifythis approach for VaR then there should be noadditional need to review this technique asapplied to stressed VaR.The <strong>EBA</strong> believes it is even more important to reviewthe appropriateness of the square root of time forscaling up the stressed VaR than for the VaR. Thisrequirement is therefore maintained.No change.Para 10.3 (iii)The proposed equation is inconsistent with theguidance provided by our national regulator.The NSA rules require a calculation based on asixty-day average with the weekly values ofsVaR rolled each day.<strong>EBA</strong> and the competent authority referred in thecomment letter do not believe there is an inconsistencybetween the <strong>EBA</strong> guidelines and the competentauthorities’ rules on this pointNo change.Para 10.3 (iii)cWe’d like to clarify that this requirementshould not be construed as a de factorequirement for a daily computation of theStressed VaR. This requirement should besatisfied by other means or indicators. Forexample, proof that the VaR is notsystematically higher on the day of the weekchosen for Stressed VaR calculation should beconsidered sufficient.This paragraph does not require institutions to computea daily Stressed VaR. For example, proof that the VaR isnot systematically lower on the day of the week chosenfor the SVaR calculation could be considered sufficientby competent authorities.Addition of asentence to para10.3 (iii)c.Para 10.7The present proposal stipulates the need toprovide evidence for the fact that in sensitivitybased risk calculations the approach for<strong>EBA</strong> is of the opinion that full revaluation is preferable tothe use of sensitivities and that banks should movetowards full revaluation. This paragraph has beenClarificationadded to para10.727
Page 1 and 2: EBA Guidel
Page 3 and 4: I. Executive SummaryThe amendments
Page 5 and 6: The guidelines presented in this pa
Page 7 and 8: ContentsIII. EBA <
Page 9 and 10: VaR calculations (which would also
Page 11 and 12: ange of potential historical period
Page 13 and 14: C. Stressed VaR methodology10. Cons
Page 15 and 16: 9. In terms of calibration to marke
Page 17 and 18: historical data series should be ap
Page 19 and 20: Feedback table on CP 48: analysis o
Page 21 and 22: can be achieved if the US moves ahe
Page 23 and 24: Para 6.8more distant past. Since th
Page 25: the need for an ex-post notificatio
Page 29 and 30: the other hand it means that VaR an
Page 31: V. Confirmation of compliance with

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

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