- Question ID
-
2023_6698
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Market risk
- Article
-
325bc
- Paragraph
-
1
- Subparagraph
-
c
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
-
n.a.
- Type of submitter
-
Competent authority
- Subject matter
-
Time horizon for partial expected shortfall calculation
- Question
-
According to Article 325bc(1) CRR, the Partial Expected Shortfalls (PES) used for the ES computation are determined by applying scenarios of future shocks with a 10-days time horizon.
Are 10-days shocks mandatory or are other time horizons rescaled allowed? (Typically, is the use of 1-day shocks rescaled to 10-days horizon permitted?)
- Background on the question
-
Basel FTRB MAR 33.4 specifies the following: “The ES for a liquidity horizon must be calculated from an ES at a base liquidity horizon of 10 days […]”.
In addition, details on the computation in MAR 33.4 (1) to (7) are very clear on the T = 10 days time horizon without any rescaling from shorter horizons allowed.
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
This question has been rejected because the issue it raises is beyond the remit of the Q&A process and as such it cannot be addressed via a Q&A.
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- Status
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Rejected question