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Retain the estimation evidence
The worksheet has review fields for loss dates, current exposure basis, factor changes, repricing or approximation, missing observations, weighting, horizon and percentile rule. Blank entries indicate unresolved evidence, not an approved estimate.
Identify what historical losses describe
Past realised returns on a changing portfolio may differ from losses obtained by applying historical factor moves to today’s positions. Record which construction is being used and any nonlinear or omitted exposure treatment.
Name the sample method
| Field | Review question |
|---|---|
| Observation weighting | Equal or explicitly unequal probabilities? |
| Quantile | Lower empirical crossing or interpolation? |
| Tail allocation | Whole or fractional boundary mass? |
| Horizon | Matching period for every record? |
| Missing data | Exclusion, imputation or another method? |
| Regime/source | What observations support the estimate? |
Keep the download’s limits clear
This CSV is a review record, not a repricing engine, statistical estimator or evidence that future losses are covered. Obtain missing source information before turning a scenario result into an empirical claim.