Stressed VaR-based measure.

CFR · 2024-01-01 · US · Title 12

(a) (b) (2) The stressed VaR-based measure must be calculated at least weekly and be no less than the Board-regulated institution's VaR-based measure. (3) A Board-regulated institution must have policies and procedures that describe how it determines the period of significant financial stress used to calculate the Board-regulated institution's stressed VaR-based measure under this section and must be able to provide empirical support for the period used. The Board-regulated institution must obtain the prior approval of the Board for, and notify the Board if the Board-regulated institution makes any material changes to, these policies and procedures. The policies and procedures must address: (i) How the Board-regulated institution links the period of significant financial stress used to calculate the stressed VaR-based measure to the composition and directional bias of its current portfolio; and (ii) The Board-regulated institution's process for selecting, reviewing, and updating the period of significant financial stress used to calculate the stressed VaR-based measure and for monitoring the appropriateness of the period to the Board-regulated institution's current portfolio. (4) Nothing in this section prevents the Board from requiring a Board-regulated institution to use a different period of significant financial stress in the calculation of the stressed VaR-based measure.

official document · source cfr-2024 · id 12:§ 217.206