PET - Plain English Taxonomy

Label: Financial Risk Market Scaling Factor Stressed VaR Commodity Positions Number
TREF ID: DE12505
Data Type: xbrli:decimalItemType
Period Type: instant
Business Description & 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.Commodity positions include both on and off-balance sheet exposures which are affected by changes in commodity prices. This includes holdings of, or positions in:     - commodity forwards;     - commodity futures;      - commodity swaps; and     - other applicable commodity instruments (e.g. commodity options)Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding stressed VaR number for that day. 

Usage
Form Labels
Label:
Internal Model Method - Value-at-Risk Method - Commodity Positions - Scaling Factor (Stressed VaR)