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Stress Testing and Back Testing [8]

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Bullet points include: Too many overshoots? Review VaR model and make appropriate adjustments. >4 per 250 business days (at 99% confidence level). Inform UCITS senior management and, where applicable, the UCITS competent authority. Analysis and explanation of sources of ‘overshootings’. What measures taken to improve accuracy of model. Model may be disallowed, or stricter criteria applied, if too inaccurate

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