ANNEX VUSE OF INTERNAL MODELS TO CALCULATE CAPITAL REQUIREMENTS
10.The calculation of the value-at-risk measure shall be subject to the following minimum standards:
- (a)
at least daily calculation of the value-at-risk measure;
- (b)
a 99th percentile, one-tailed confidence interval;
- (c)
F1a 10-day equivalent holding period (institutions may use value-at-risk numbers calculated according to shorter holding periods scaled up to 10 days by, for example, the square root of time. An institution using that approach shall periodically justify the reasonableness of its approach to the satisfaction of the competent authorities);;
- (d)
an effective historical observation period of at least one year except where a shorter observation period is justified by a significant upsurge in price volatility; and
- (e)
F1monthly data set updates.