PET - Plain English Taxonomy

Attribute: CS00869
Concept:
Label: Internal Model Method - Value-at-Risk Method - Equity Positions - Backtesting Exceptions
Concept Guidance:
This is the number of back-testing exceptions calculated over the duration of the relevant period in relation to positions giving rise to equity position risk, as determined in accordance with relevant prudential standards.Equity positions include on and off-balance sheet exposures which are affected by changes in Equity prices. This includes holdings of, or positions in:     - ordinary shares, whether voting or non-voting;     - convertible securities that behave like equities;     - commitments to buy or sell equity securities; and     - any other instruments that exhibit market behaviour similar to equities.Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day. For the purposes of this item, exceptions are reported where the trading outcome on a particularly day is a loss that exceeds the corresponding VaR number for that day.VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period.For the purposes of this item the VaR used is to be the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio. 
Dimensions
Dimension Member Description
(Actual)
This dimension is used to categorise reported information in relation to back-testing, based on whether actual or hypothetical trading outcomes have been applied, as determined in accordance with relevant prudential standards.
The information reported relates to back-tests performed using actual trading outcomes.Actual trading outcomes used in backtesting represent clean trading outcomes, being actual trading outcomes adjusted to remove the impact of income arising from factors other than market movements alone, such as fees, spreads and intra-day trading results.
(SubPortfolioNotContainingSpecificRisk)
This dimension categorises information reported based on the sub-portfolio and the presence of specific risk factors within the sub-portfolio, as determined in accordance with relevant prudential standards.
The information reported relates to the sub-portfolio of exposures which do not contain specific risk. This is applicable where the reporting party is calculating the specific risk modelling surcharge by identifying sub-portfolios that contain specific risk. Specific risk represents the risk that the value of a security, or instrument, will change due to issuer-specific factors. It applies to interest rate and equity positions related to a specific issuer.