Article 8 | Delegated Regulation 2024/397

Article 8 - Downward and upward calibrated shock with the historical method

Article 8

Downward and upward calibrated shock with the historical method

1. Under the historical method, institutions shall determine the downward calibrated shock from a time series of 10 business days returns for a non-modellable risk factor in accordance with the following formula:

where:

—	Ret denotes the time series of 10 business days returns of the non-modellable risk factor;

—	is the estimate of the left-tail expected shortfall for the time series Ret calculated in accordance with Article 11(1);

—	N is the number of returns in the time series Ret.

2. Institutions shall determine the upward calibrated shock from a time series of 10 business days returns for a non-modellable risk factor with the historical method in accordance with the following formula:

where:

—	Ret denotes the time series of 10 business days returns of the non-modellable risk factor;

—	is the estimate of the right-tail expected shortfall for the time series Ret calculated in accordance with Article 11(2);

—	N is the number of returns in the time series Ret.

CHAPTER 2 - REGULATORY EXTREME SCENARIO OF FUTURE SHOCK (Article 14)

CHAPTER 3 - CIRCUMSTANCES UNDER WHICH INSTITUTIONS MAY CALCULATE A STRESS SCENARIO RISK MEASURE FOR MORE THAN ONE NON-MODELLABLE RISK FACTOR (Article 15)

CHAPTER 4 - AGGREGATION OF THE STRESS SCENARIO RISK MEASURES (Article 16-20)

CHAPTER 5 - QUALITATIVE REQUIREMENTS (Article 21)

CHAPTER 6 - FINAL PROVISIONS (Article 22)

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Article 8 - Downward and upward calibrated shock with the historical method

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