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:
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Ret denotes the time series of 10 business days returns of the non-modellable risk factor; |
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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:
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Ret denotes the time series of 10 business days returns of the non-modellable risk factor; |
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N is the number of returns in the time series Ret. |