Table 2 V a R and E S metric input data... | Emerald Publishing

Table 2

$V a R$ and $E S$ metric input data under FRTB

Risk metric valuation dates (t)	22/01/2021, 03/06/2021
Stress scenarios	Period i	03/02/2009–18/01/2010
Stress scenarios	Period ii	10/02/2020–22/02/2021
Call on GBP/USD	Pricing model	Black Scholes
	Underlying value	Exchange rate at $t$
	Annual maturity	$T \in {0.5, 1}$
	Strike	Underlying value at $t$
	Volatility GBP/USD	Over 250 days prior to $t$
	Local and foreign rates	Zero curves in the USA and the UK
Risk metrics	Conventional $V a R$	Delta, delta-gamma
Risk metrics	$V a R$ and $E S$ under FRTB	Normal, $t$ -student, historical
Confidence level and risk horizon	$α = 0.975$ ⁠; $N = 1,10$ and $20$ days

Risk metric valuation dates (t)	22/01/2021, 03/06/2021
Stress scenarios	Period i	03/02/2009–18/01/2010
Stress scenarios	Period ii	10/02/2020–22/02/2021
Call on GBP/USD	Pricing model	Black Scholes
	Underlying value	Exchange rate at $t$
	Annual maturity	$T \in {0.5, 1}$
	Strike	Underlying value at $t$
	Volatility GBP/USD	Over 250 days prior to $t$
	Local and foreign rates	Zero curves in the USA and the UK
Risk metrics	Conventional $V a R$	Delta, delta-gamma
Risk metrics	$V a R$ and $E S$ under FRTB	Normal, $t$ -student, historical
Confidence level and risk horizon	$α = 0.975$ ; $N = 1,10$ and $20$ days

Source(s): Own elaboration