Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firms and credit institutions (recast) (repealed) (c. 49)

ANNEX V USE 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)

a 10‐day equivalent holding period;

(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)

three‐monthly data set updates.