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Stress Testing and Back Testing [14]

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Bullet points include: Quantitative. Leverage limits. Supplement VaR / stress testing, where appropriate, with other risk measurement methods. E.g. Conditional VaR (aka Tail VaR). Particularly with instruments designed to limit loss at a given confidence level. Disclosure, both in prospectus and in annual reports. Lowest, highest and average utilisation of VaR limit. Model description and inputs used in calculation

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