Measure for market risk.

CFR · 2024-01-01 · US · Title 12

(a) (2) (i) (A) The previous day's VaR-based measure as calculated under § 217.205; or (B) The average of the daily VaR-based measures as calculated under § 217.205 for each of the preceding 60 business days multiplied by three, except as provided in paragraph (b) of this section. (ii) (A) The most recent stressed VaR-based measure as calculated under § 217.206; or (B) The average of the stressed VaR-based measures as calculated under § 217.206 for each of the preceding 12 weeks multiplied by three, except as provided in paragraph (b) of this section. (iii) (iv) (v) (vi) (A) The absolute value of the fair value of those (B) With the prior written approval of the Board, the capital requirement for any (b) (1) Once each quarter, the Board-regulated institution must identify the number of exceptions (that is, the number of business days for which the actual daily net trading loss, if any, exceeds the corresponding daily VaR-based measure) that have occurred over the preceding 250 business days. (2) A Board-regulated institution must use the multiplication factor in Table 1 to § 217.204 that corresponds to the number of exceptions identified in paragraph (b)(1) of this section to determine its VaR-based capital requirement for market risk under paragraph (a)(2)(i) of this section and to determine its stressed VaR-based capital requirement for market risk under paragraph (a)(2)(ii) of this section until it obtains the next quarter's backtesting results, unless the Board notifies t

official document · source cfr-2024 · id 12:§ 217.204