Article 365 - VaR and stressed VaR Calculation
Table of content
VaR and stressed VaR Calculation
The calculation of the value-at-risk number referred to in Article 364 shall be subject to the following requirements:
daily calculation of the value-at-risk number;
a 99th percentile, one-tailed confidence interval;
a 10-day holding period;
an effective historical observation period of at least one year except where a shorter observation period is justified by a significant upsurge in price volatility;
at least monthly data set updates.
The institution may use value-at-risk numbers calculated according to shorter holding periods than 10 days scaled up to 10 days by an appropriate methodology that is reviewed periodically.