PET - Plain English Taxonomy

ARF_116_0_13: Market risk table 13
Australian Business Number Institution Name
   
Reporting Period Scale Facto r  
Quarterly Millions to two decimal places
Reporting Consolidation
Level 1 / Level 2
INTERNAL MODEL METHOD
Value-at-Risk method
Value-at-Risk results
End of quarter VaR Average VaR over past 60 trading days End of quarter stressed VaR Average stressed VaR over past 60 trading days Back-testing exceptions Scaling factor (VaR) Scaling factor (stressed VaR) Scaled average VaR Scaled average stressed VaR
Based on actual profit & loss Based on hypothetical profit & loss
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
1. Interest rates
Either                    
1.1. General market risk
1.2. Specific risk
1.3. Total
Or                    
1.4. Sub-portfolio containing specific risk
1.5. Sub-portfolio not containing specific risk
2. Equities
Either                    
2.1. General market risk
2.2. Specific risk
2.3. Total
Or                    
2.4. Sub-portfolio containing specific risk
2.5. Sub-portfolio not containing specific risk
                   
3. Foreign exchange
4. Commodities
5. Total
6. Incremental risk charge  
7. Comprehensive risk charge - correlation trading portfolio  
8. Capital charge  
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