1.Institutions shall calculate all the partial expected shortfall measures referred to in Article 325bb(1) as follows:
(a) daily calculations of the partial expected shortfall measures;
(b) at 97,5th percentile, one tailed confidence interval;
(c) for a given portfolio of trading book positions and non-trading book positions that are subject to foreign exchange or commodity risk, institutions shall calculate the partial expected shortfall measure at time 't' in accordance with the following formula:
where:
PESt = the partial expected shortfall measure at time t;
j = the index that denotes the five liquidity horizons listed in the first column of Table 1;
LHj = the length of liquidity horizons j as expressed in days in Table 1;
T = the base time horizon, where T = 10 days;
PESt(T) = the partial expected shortfall measure that is determined by applying scenarios of future shocks with a 10-day time horizon only to the specific set of modellable risk factors of the positions in the portfo
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