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Interpretive issues with respect to the revisions to the market risk framework
The intention of the stressed VaR requirement is to deliver the charge that the bank’s current VaR model would generate if the bank was experiencing a period of financial stress relevant to its portfolio. Therefore, the time-series data upon which the stressed VaR is calculated should be stable. However, the period used must be regularly reviewed by the bank and approved by the supervisor to ensure that it still represents a period of significant financial stress relevant to the bank’s portfolio.