CHAPTER XIIREVIEW OF MODELS, STRESS TESTING AND BACK TESTING(Article 49 Regulation (EU) No 648/2012)
SECTION 9 Time horizons used when performing tests
Article 60The time horizons
1.
The time horizons used for stress tests shall be defined in accordance with Chapter VII and shall include forward-looking extreme but plausible market conditions.
2.
The historical time horizons used for back tests shall include data from at minimum the most recent year or as long as a CCP has been clearing the relevant financial instrument if that is less than a year.