(a) General requirement. At least weekly, a Board-regulated institution
must use the same internal model(s) used to calculate its VaR-based
measure to calculate a stressed VaR-based measure.
(b) Quantitative requirements for stressed
VaR-based measure.
(1) A Board-regulated institution must
calculate a stressed VaR-based measure for its covered positions using
the same model(s) used to calculate the VaR-based measure, subject
to the same confidence level and holding period applicable to the
VaR-based measure under section 217.205, but with model inputs calibrated
to historical data from a continuous 12-month period that reflects
a period of significant financial stress appropriate to the Board-regulated
institution’s current portfolio.
(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.
