PET - Plain English Taxonomy

Attribute: CS22531
Concept:
Label: Internal Model Method - VaR Capital Charge
Concept Guidance:
This is the value, calculated as at the relevant date, of the Value-at-Risk method capital requirement, as determined in accordance with relevant prudential standards.The capital requirement is the larger of 'End of Period VaR' and 'Scaled Average VaR' across asset classes plus the 'Incremental Default Risk Charge'.VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio, based on the analysis of historical price movements and volatilities, over a specified observation period.Scaled average VaR represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable.For the purposes of this item the amount reported is the average of the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio. 
Dimensions
Dimension Member Description
(CapitalCharge)
This dimension categorises the reported data according to the measurement scenario under which the reported value was calculated.
The value reported represents the capital charge, as determined in accordance with relevant prudential standards.
(ValueAtRiskMethod)
This dimension categorises information reported based on the market risk measurement method used to calculate capital charge for capital adequacy purposes, as determined in accordance with relevant prudential standards.
The information reported has been determined using the value at risk approach to measuring market risk, in accordance with relevant prudential standards.
(InternalModelMethod)
This dimension categorises information reported based on the market risk method used to calculate capital charge for capital adequacy purposes, as determined in accordance with relevant prudential standards.
The information reported has been determined using the internal model method of calculating market risks, in accordance with relevant prudential standards.