CoachThe internal models approach sets capital from the bank’s own model of expected shortfall at 97.5%, computed on a ten-day base horizon and scaled up for risk factors with longer liquidity horizons (10, 20, 40, 60 or 120 days, the time assumed to exit or hedge a position without moving prices): .
Voorbeelden
Example 23.9 (The internal-model charge)
On overlapping ten-day moves, the book’s 97.5% ES over the last year is USD 5.27 million. Scanning every twelve-month window since 2016, the most severe ends on 3 October 2022 (Figure 23.2): its ES is USD 14.41 million for the whole book, 5.67 million for rates alone and 14.01 million for FX alone. All the factors are major-currency rates and FX pairs with a ten-day liquidity horizon, so no scaling applies. The IMCC is million and, with the multiplier of 1.5, the charge is USD 25.56 million, 37% of the standardised one.