Let me ask you about the following rationale regarding stress scenario (IV Annex 10 (c)):
" Identify for each sub interval of length w the historical lognormal returns rt, where t=t0, t1, t2, …, tN. "
I find myself wondering what the t0,...,tN are: in fact, given that RTS only mentions for historical data of up to 5 years, I interprete the above as saying that t0,...,tN should be the 5 years data used in the rest performance scenarios as well. Otherwise the RTS should be more specific of how and where exactly these "new data" come from.
Would you agree to that interpretation or are you of the opinion that for stress purposes one needs to get more historical data?
Thank you very much in advance for your answer!