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Key Time Steps in VaR Spec refers to the number of time steps that each simulation uses to construct the paths realized by the risk factors.
During each time step, the parameters of the SDEs that govern the stochastic evolution of the risk factors are assumed constant.
In particular, if some of these parameters are state dependent - i.e. depend on the risk factors themselves - they are computed according to the value(s) assumed by the stae variable(s) at the start of the stime step.