Table 3 VaR and ES at N days under FRTB...

Table 3

VaR and ES at N days under FRTB and traditional VaR

$t_{1}$ ⁠: 22/01/2021		$N = 1$ day		$N = 10$ days		$N = 20$ days
$t_{1}$ ⁠: 22/01/2021		$T = 0.5$	$T = 1$	$T = 0.5$	$T = 1$	$T = 0.5$	$T = 1$
Greeks	$V a R$ $δ$	−0.2249	−0.1601	−0.7112	−0.5064	−1.0058	−0.7161
Greeks	$V a R$ $δ γ$	−0.2101	−0.1528	−0.6375	−0.4700	−0.8785	−0.6533
Crisis 2007–9	$V a R$ $N$	−0.2421	−0.1726	−0.7475	−0.5144	−1.1062	−0.7467
	$V a R$ $T_{6}$	−0.2470	−0.1760	−0.7640	−0.5257	−1.1308	−0.7633
	$V a R$ $H$	−0.2621	−0.1911	−0.4821	−0.3546	−0.6432	−0.4812
	$E S$ $N$	−0.2908	−0.2072	−0.9113	−0.6271	−1.3515	−0.9126
	$E S$ $T_{6}$	−0.3321	−0.2367	−1.0503	−0.7228	−1.5597	−1.0534
	$E S$ $H$	−0.3032	−0.2225	−0.5837	−0.4414	−0.7055	−0.5423
Crisis 2020–1	$V a R$ $N$	−0.2174	−0.1554	−0.6560	−0.4795	−0.8455	−0.6068
	$V a R$ $T_{6}$	−0.2216	−0.1584	−0.6696	−0.4894	−0.8630	−0.6193
	$V a R$ $H$	−0.2149	−0.1556	−0.6977	−0.5454	−0.8296	−0.6696
	$E S$ $N$	−0.2601	−0.1859	−0.7908	−0.5776	−1.0196	−0.7318
	$E S$ $T_{6}$	−0.2964	−0.2118	−0.9053	−0.6608	−1.1673	−0.8379
	$E S$ $H$	−0.3133	−0.2313	−0.9037	−0.7826	−0.9241	−0.7978
$t_{2}$ ⁠: 03/06/2021
Greeks	$V a R$ $δ$	−0.2238	−0.1594	−0.7077	−0.5041	−1.0009	−0.7129
Greeks	$V a R$ $δ γ$	−0.2088	−0.1519	−0.6332	−0.4669	−0.8722	−0.6487
Crisis 2007–9	$V a R$ $N$	−0.3344	−0.2392	−1.0525	−0.7239	−1.5624	−1.0574
	$V a R$ $T_{6}$	−0.3413	−0.2441	−1.0765	−0.7403	−1.5988	−1.0818
	$V a R$ $H$	−0.3508	−0.2592	−0.6086	−0.4621	−0.7731	−0.6072
	$E S$ $N$	−0.4026	−0.2877	−1.2912	−0.8868	−1.9245	−1.3006
	$E S$ $T_{6}$	−0.4605	−0.3289	−1.4939	−1.0251	−2.2320	−1.5071
	$E S$ $H$	−0.4027	−0.3003	−0.7172	−0.5649	−0.8282	−0.6725
Crisis 2020–1	$V a R$ $N$	−0.2989	−0.2146	−0.8730	−0.6354	−1.1183	−0.8050
	$V a R$ $T_{6}$	−0.3049	−0.2189	−0.8918	−0.6489	−1.1429	−0.8224
	$V a R$ $H$	−0.2898	−0.2122	−0.8271	−0.6809	−0.9300	−0.8036
	$E S$ $N$	−0.3585	−0.2572	−1.0606	−0.7700	−1.3632	−0.9788
	$E S$ $T_{6}$	−0.4091	−0.2933	−1.2199	−0.8842	−1.5710	−1.1264
	$E S$ $H$	−0.4126	−0.3103	−0.9686	−0.8948	−0.9800	−0.9080

$t_{1}$ : 22/01/2021		$N = 1$ day		$N = 10$ days		$N = 20$ days
$t_{1}$ : 22/01/2021		$T = 0.5$	$T = 1$	$T = 0.5$	$T = 1$	$T = 0.5$	$T = 1$
Greeks	$V a R$ $δ$	−0.2249	−0.1601	−0.7112	−0.5064	−1.0058	−0.7161
Greeks	$V a R$ $δ γ$	−0.2101	−0.1528	−0.6375	−0.4700	−0.8785	−0.6533
Crisis 2007–9	$V a R$ $N$	−0.2421	−0.1726	−0.7475	−0.5144	−1.1062	−0.7467
	$V a R$ $T_{6}$	−0.2470	−0.1760	−0.7640	−0.5257	−1.1308	−0.7633
	$V a R$ $H$	−0.2621	−0.1911	−0.4821	−0.3546	−0.6432	−0.4812
	$E S$ $N$	−0.2908	−0.2072	−0.9113	−0.6271	−1.3515	−0.9126
	$E S$ $T_{6}$	−0.3321	−0.2367	−1.0503	−0.7228	−1.5597	−1.0534
	$E S$ $H$	−0.3032	−0.2225	−0.5837	−0.4414	−0.7055	−0.5423
Crisis 2020–1	$V a R$ $N$	−0.2174	−0.1554	−0.6560	−0.4795	−0.8455	−0.6068
	$V a R$ $T_{6}$	−0.2216	−0.1584	−0.6696	−0.4894	−0.8630	−0.6193
	$V a R$ $H$	−0.2149	−0.1556	−0.6977	−0.5454	−0.8296	−0.6696
	$E S$ $N$	−0.2601	−0.1859	−0.7908	−0.5776	−1.0196	−0.7318
	$E S$ $T_{6}$	−0.2964	−0.2118	−0.9053	−0.6608	−1.1673	−0.8379
	$E S$ $H$	−0.3133	−0.2313	−0.9037	−0.7826	−0.9241	−0.7978
$t_{2}$ : 03/06/2021
Greeks	$V a R$ $δ$	−0.2238	−0.1594	−0.7077	−0.5041	−1.0009	−0.7129
Greeks	$V a R$ $δ γ$	−0.2088	−0.1519	−0.6332	−0.4669	−0.8722	−0.6487
Crisis 2007–9	$V a R$ $N$	−0.3344	−0.2392	−1.0525	−0.7239	−1.5624	−1.0574
	$V a R$ $T_{6}$	−0.3413	−0.2441	−1.0765	−0.7403	−1.5988	−1.0818
	$V a R$ $H$	−0.3508	−0.2592	−0.6086	−0.4621	−0.7731	−0.6072
	$E S$ $N$	−0.4026	−0.2877	−1.2912	−0.8868	−1.9245	−1.3006
	$E S$ $T_{6}$	−0.4605	−0.3289	−1.4939	−1.0251	−2.2320	−1.5071
	$E S$ $H$	−0.4027	−0.3003	−0.7172	−0.5649	−0.8282	−0.6725
Crisis 2020–1	$V a R$ $N$	−0.2989	−0.2146	−0.8730	−0.6354	−1.1183	−0.8050
	$V a R$ $T_{6}$	−0.3049	−0.2189	−0.8918	−0.6489	−1.1429	−0.8224
	$V a R$ $H$	−0.2898	−0.2122	−0.8271	−0.6809	−0.9300	−0.8036
	$E S$ $N$	−0.3585	−0.2572	−1.0606	−0.7700	−1.3632	−0.9788
	$E S$ $T_{6}$	−0.4091	−0.2933	−1.2199	−0.8842	−1.5710	−1.1264
	$E S$ $H$	−0.4126	−0.3103	−0.9686	−0.8948	−0.9800	−0.9080

Note(s): Call option on GBP/USD

Source(s): Own elaboration

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