Guidelines on Stressed Value-At-Risk (Stressed VaR)

  • Status: Final and translated into the EU official languages

These Guidelines include provisions on Stressed VaR modelling by credit institutions using the Internal Model Approach (IMA) for the calculation of the required capital for market risk in the trading book. These Guidelines are seen as an important means of addressing weaknesses in the regulatory capital framework and in the risk management of financial institutions.

Summary of document history

Previous versions Current version Ongoing versions

EBA consultation papers on guidelines to the Stressed Value At Risk (Stressed VaR)

  • Status: Closed
  • Deadline: 15 JANUARY 2012
Documents
Consultation Paper

(452.1 KB - PDF) Last update 28 February 2014

ABI

(27.48 KB - PDF) Last update 28 February 2014

Credit Agricole

(76.8 KB - PDF) Last update 28 February 2014

Public hearings

Public hearing on CP on draft Guidelines on Stressed Value-At-Risk (Stressed VaR)

Registration form

(62.76 KB - Word Document) Last update 20 February 2014

Press contacts

Franca Rosa Congiu