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Stress Testing and Back Testing [4]

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Bullet points include: For UCITS applying VaR approach: Quantitative and qualitative requirements include stress testing and back testing. Risk management function: Source, test, maintain, document and use VaR model day-by-day. Validate, implement and control VaR limits, leverage levels. Report on back testing and stress testing. ‘Use test’. VaR model (and stress tests) integrated with daily risk and investment management

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