EBA · 2023_6698 Rejected question

Time horizon for partial expected shortfall calculation

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
325bc, para. 1
Topic
Market risk
Submitted by
Competent authority
Submitted
2023-01-26
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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

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.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6698

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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