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PRA publishes feedback to responses to Consultation Paper (CP) 15/20

Posted on Dec 16, 2020

Following Consultation Paper 15/20, the PRA have recently published Policy Statement 23/20 which confirms the final policies regarding the calculation frequency of Risks not in VaR (RNIVs) and the selection of the window for Stressed VaR (sVaR). The existing guidance, set out in Supervisory Statement 13/13 'Market Risk', has been updated accordingly. This presentation outlines the motivation, proposal and finalised changes.

Read our published briefing here.

For more information or if you have any questions please contact:

Dilbagh Kalsi
Partner, Head of UK Practice
Fintegral UK Ltd
+44 (0)7703 788 016

Alexander Mottram
Senior Consultant
Fintegral UK Ltd
+44 7487 738 468

Hardial Kalsi
Fintegral UK Ltd
+44 7903 790 291

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