VaR Regulatory Provisions

VaR plus back-testing and stress testing is required under a number of regulations.

These include:

Regulatory FrameworkVaR Requirements and Standards
UCITS DirectiveAbsolute 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
AIFMDAnnex IV Reporting requires reporting of relevant risk measures.

Standards 99% VaR, 20 day holding period, minimum 250 day look-back.
PRIIPS Disclosures