VaR plus back-testing and stress testing is required under a number of regulations.
These include:
| Regulatory Framework | VaR Requirements and Standards |
|---|---|
| UCITS Directive | Absolute VaR - max 20% or relative VaR (2 * benchmark) Standards 99% VaR, 20 day holding period, minimum 250 day look-back |
| UCITS - FCA Derivative Use Reporting | |
| AIFMD | Annex IV Reporting requires reporting of relevant risk measures. Standards 99% VaR, 20 day holding period, minimum 250 day look-back. |
| PRIIPS Disclosures |