Version status: Inserted | Document consolidation status: Updated to reflect all known changes
Version date: 27 June 2019 - onwards
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Article 325bc Partial expected shortfall calculations

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, institution shall calculate the partial expected shortfall measure at time 't' 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 portfolio set out in paragraphs 2, 3 and 4 for each partial expected shortfall measure referred