Chapter 1, Article 8 · Commission Delegated Regulation (EU) 2024/397

Contents

Article 8Downward 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:downward calibrated shockEŜLeftRet 0,951N –1,5where:

—Ret denotes the time series of 10 business days returns of the non-modellable risk factor;

—ESLeftRet is the estimate of the left-tail expected shortfall for the time series Ret calculated in accordance with Article 11(1);

—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:upward calibrated shockEŜRightRet 0,951N –1,5where:

—Ret denotes the time series of 10 business days returns of the non-modellable risk factor;

—EŜRightRet is the estimate of the right-tail expected shortfall for the time series Ret calculated in accordance with Article 11(2);

—N is the number of returns in the time series Ret.