The nice people at Catalyst have expressed some thoughts about using a ‘Stress VaR’ in the context of the ESMA non-cleared margin proposals, and for CCPs. The original URL for the PDF at Catalyst is here, or download from this site here.

Context:

Although debate continues as to its conceptual soundness and proper place in the risk management framework, “Stressed VaR” (SVaR) has been a reality for Banks since the arrival of Basel 2.5 at the end of December 2011. Its purpose is ostensibly to function as one of a series of new risk measures, designed to address the perceived shortcomings of VaR.