art_1__point_90__point_c__14__table

PESt | = | the partial expected shortfall measure at time t; j | = | the index that denotes the five liquidity horizons listed in the first column of Table 1; LHj | = | the length of liquidity horizons j as expressed in days in Table 1; T | = | the base time horizon, where T = 10 days; PESt(T) | = | the partial expected shortfall measure that is determined by applying scenarios of future shocks with a 10-day time horizon only to the specific set of modellable risk factors of the positions in the portfolio set out in paragraphs 2, 3 and 4 for each partial expected shortfall measure referred to in Article 325bb(1); and PESt(T, j) | = | the partial expected shortfall measure that is determined by applying scenarios of future shocks with a 10-day time horizon only to the specific set of modellable risk factors of the positions in the portfolio set out in paragraphs 2, 3 and 4 for each partial expected shortfall measure referred to in Article 325bb(1) and of which the effective liquidity horizon, as determined in accordance with Article 325bd(2), is equal or longer than LHj. Table 1 Liquidity horizon j Length of liquidity horizon j (in days) 1 10 2 20 3 40 4 60 5 120

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Source: EUR-Lex (Cellar) · retrieved 2026-10-12 · Text as adopted (Official Journal); later amendments are not incorporated in this text.