PET - Plain English Taxonomy

Label: Financial Risk Market Average VaR Past 60 Trading Days Amount
TREF ID: DE8083
Data Type: xbrli:monetaryItemType
Period Type: instant
Balance Type: debit
Business Description & Guidance:
This is the average value at risk (VaR), calculated over the most recent 60 trading days prior to and including the relevant date, for positions giving rise to market risk, as determined in accordance with relevant prudential standards.Market risk positions include holdings of, or positions giving rise to:     - interest rate risk;     - equity position risk;     - foreign exchange risk; and     - commodities risk.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 amount reported is the average of the 99% ten-day VaR number calculated daily over the most recent 60 trading days prior to and including the relevant date. 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. 

Usage
Form Labels
Label:
Internal Model Method - Value-at-Risk Method - Average VaR Over Past 60 Trading Days