Stressed value-at-risk

In banking, a measure intended to replicate a VaR calculation that would be generated on the bank’s current portfolio if the relevant market factors were experiencing a period of stress. Therefore, it should be based on the 10-day, 99th percentile, one-tailed confidence interval VaR measure of the current portfolio, with model inputs calibrated to historical data from a continuous 12-month period of significant financial stress relevant to the bank’s portfolio. The period used must be approved by the supervisor and regularly reviewed.