Article 365 VaR and stressed VaR CalculationX1
United Kingdom
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.
In addition, the institution shall at least weekly calculate a ‘ stressed value-at-risk ’ of the current portfolio, in accordance with the requirements set out in the first paragraph, with value-at-risk model inputs calibrated to historical data from a continuous 12-month period of significant financial stress relevant to the institution's portfolio. The choice of such historical data shall be subject to at least annual review by the institution, which shall notify the outcome to the competent authorities. F1...
Annotations
Textual amendments
- F1
Words in Art. 365(2) omitted (31.12.2020) by virtue of The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 165 (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
Editorial notes
Notes on the whole EU Regulation
Textual amendments
- F1
Regulation revoked (1.1.2024 for the revocation of Art. 92b, 1.1.2026 for the revocation of Arts. 6(1a), 11(3a), 12a, 18(1) (in part), 25-35, 37-47, 47a(1)(2), 47c-79a, 81(1)(a)(i)-(iic)(b)(c)(2), 82(a)(i)-(iic)(b)(c), 83-91, 92a, 466, 468, 469a, 471, 473-474, 476, 479, 480, 482-491, 494-494b, otherwise prosp.) by Financial Services and Markets Act 2023 (c. 29), s. 86(3), Sch. 1 Pt. 1 (with s. 1(4)); S.I. 2023/779, reg. 5(b)(i); S.I. 2025/873, reg. 4(b) (with regs. 6, 7) (as amended by S.I. 2025/1293, reg. 2)