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Version date: 12 December 2023 - onwards
Version 7 of 7

10 Stressed VaR calculation

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10.1 [Deleted]

Quantile estimator

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10.2 [Deleted]

Meaning of ‘period of significant financial stress relevant to the institution’s portfolio’

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10.3 [Deleted]

10.3A [Deleted]

Antithetic data

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10.4 [Deleted]

Absolute and relative shifts

[This sub-section has moved to chapter 9]

10.5 [Moved to Chapter 9]

10.6 [Moved to Chapter 9]