Version status: Applicable | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2014 - onwards
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Article 366 Regulatory back testing and multiplication factors

1. The results of the calculations referred to in Article 365 shall be scaled up by the multiplication factors (mc) and (ms).

2. Each of the multiplication factors (mc) and (ms) shall be the sum of at least 3 and an addend between 0 and 1 in accordance with Table 1. That addend shall depend on the number of overshootings for the most recent 250 business days as evidenced by the institution's back-testing of the value-at-risk number as set out in Article 365(1).

Table 1

Number of overshootings

addend

Fewer than 5

0,00

5

0,40

6

0,50

7

0,65

8

0,75

9

0,85

10 or more

1,00

3. The institutions shall count daily overshootings on the basis of back-testing on hypothetical and actual changes in the portfolio's value. An overshooting is a one-day change in the portfolio's value that exceeds the related one-day value-at-risk number generated by the institution's model. For the purpose of determining the addend the number of over­shootings shall be assessed at least