Article 365 › 1

The calculation of the value-at-risk number referred to in Article 364 shall be subject to the following requirements: (a) daily calculation of the value-at-risk number; (b) a 99th percentile, one-tailed confidence interval; (c) a 10-day holding period; (d) 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; (e) at least monthly data set updates. The institution may use value-at-risk numbers calculated according to shorter holding periods than 10 days scaled up to 10 days by an appropriate methodology that is reviewed periodically.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04