10.

Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firms and credit institutions (recast) · European Union

The calculation of the value‐at‐risk measure shall be subject to the following minimum standards: at least daily calculation of the value‐at‐risk measure; a 99th percentile, one‐tailed confidence interval; a 10‐day equivalent holding period; an effective historical observation period of at least one year except where a shorter observation period is justified by a significant upsurge in price volatility; and three‐monthly data set updates.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-10 · Text as adopted (Official Journal); later amendments are not incorporated in this text.