PET - Plain English Taxonomy

Attribute: CS22532
Concept:
Label: Internal Model Method -
Concept Guidance:
This is the value, calculated as at the relevant date, of the Stressed Value at Risk (VaR) method capital requirement, as determined in accordance with relevant prudential standards.The capital requirement is the larger of 'End of Period Stressed VaR' and 'Scaled Average Stressed VaR' across asset classes plus the 'Incremental Default Risk Charge'.Stressed VaR, like VaR is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period. For the stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated. Scaled average Stressed VaR represents the average Stressed VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable. 
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.