PET - Plain English Taxonomy

Attribute: CS22356
Concept:
Label: Internal Model Method - Value-at-Risk Method - Interest Rate Positions - Scaling Factor (Stressed VaR)
Concept Guidance:
This is, as at the relevant date, the scaling factor for the stressed Value at Risk (VaR) applicable, for positions giving rise to market risk.Stressed VaR, like VaR 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 stressed VaR however, the model inputs are calibrated to historical data from a one year observation period of significant market stress relevant to the portfolio being simulated.The scaling factor consists of a multiplication factor and a plus factor, as determined in accordance with relevant prudential standards. The multiplication factor is set for each reporting party by APRA, and is subject to a minimum of three. A plus factor may also be required by APRA. This factor relates directly to back-testing results from the most recent 250 trading days prior to the relevant date.Interest rate positions include both on and off-balance sheet exposures which are affected by changes in interest rates. This includes holdings of, or positions in:     - debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities);     - forward transactions in foreign exchange, equities and commodities; and     - options that are subject to a change in value following a change in interest rates.Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding stressed VaR number for that day. 
Dimensions
Dimension Member Description
(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.