Guidelines on Stressed Value-At-Risk (Stressed VaR) (EBA/GL/2012/2)

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.

Press Release

Consultation Papers