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

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Status
Rejected question